Approximation methods for inhomogeneous geometric Brownian motion

DOI10.1142/S0219024918500553MaRDI QIDQ4631690zbMATH OpenOpenAlexFDO

Authors Luca Capriotti, Yupeng Jiang, Gaukhar Shaimerdenova

Publication date 18 April 2019

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500553

zbMATH Keywords

Arrow-Debreu securityderivative pricingpower series expansions

Mathematics Subject Classification ID

Power series (including lacunary series) in one complex variable (30B10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Mean reversion trading with sequential deadlines and transaction costs
• Pricing interest-rate-derivative securities
• Stochastic calculus for finance. I: The binomial asset pricing model.
• THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(6)

• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• Optimal management of pumped hydroelectric production with state constrained optimal control
• THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
• An optimal polynomial approximation of Brownian motion
• A long term analysis of stochastic theta methods for mean reverting linear process with jumps
• Strong consistency estimators of the Brennan-Schwartz diffusion process based on martingales approach

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