APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION
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Publication:4631690
DOI10.1142/S0219024918500553zbMath1411.91549MaRDI QIDQ4631690
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
30B10: Power series (including lacunary series) in one complex variable
91G20: Derivative securities (option pricing, hedging, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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