THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
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Publication:3421830
DOI10.1142/S0219024906003925zbMath1140.91380arXivphysics/0602107MaRDI QIDQ3421830
Publication date: 8 February 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0602107
60J60: Diffusion processes
65C30: Numerical solutions to stochastic differential and integral equations
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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