APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION

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

zbMATH Keywords

power series expansions; derivative pricing; Arrow-Debreu security

Mathematics Subject Classification ID

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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