Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts

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)

zbMATH Keywords

Ornstein-Uhlenbeck processes; VIX options; squared Bessel processes; FX options; nonlinear mean-reverting drift models; nonlinear volatility diffusion models; solvable continuous-time stochastic processes

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B70: Stochastic models in economics

Cites Work

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