Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts
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Publication:2962134
DOI10.1137/15M1033502zbMath1355.60059MaRDI QIDQ2962134
R. N. Makarov, Giuseppe Campolieti
Publication date: 16 February 2017
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Ornstein-Uhlenbeck processes; VIX options; squared Bessel processes; FX options; nonlinear mean-reverting drift models; nonlinear volatility diffusion models; solvable continuous-time stochastic processes
60G51: Processes with independent increments; Lévy processes
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B70: Stochastic models in economics
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