Density symmetries for a class of 2-D diffusions with applications to finance

DOI10.1016/j.spa.2018.03.007zbMath1403.60046arXiv1706.06000OpenAlexW2964162135MaRDI QIDQ1713463

Erik Ekström, Konstantinos Anastasios Dareiotis

Publication date: 25 January 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.06000

zbMATH Keywords

option pricingforward Kolmogorov equation2-D diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Boundary conditions for the single-factor term structure equation
• The Black-Scholes equation in stochastic volatility models
• Theory of stochastic differential equations with jumps and applications.
• Existence of strong solutions for Itô's stochastic equations via approximations
• Two singular diffusion problems
• A Theory of the Term Structure of Interest Rates
• Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
• Valuation Equations for Stochastic Volatility Models
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