Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes
DOI10.15330/CMP.10.2.273-287zbMATH Open1411.35181OpenAlexW2907257328WikidataQ128675394 ScholiaQ128675394MaRDI QIDQ4633469FDOQ4633469
Authors: I. V. Burtnyak, G. P. Malyts'ka 
Publication date: 3 May 2019
Published in: Carpathian Mathematical Publications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15330/cmp.10.2.273-287
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Cites Work
- Title not available (Why is that?)
- Singular Perturbations in Option Pricing
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- Handbooks in operations research and management science: Financial engineering
- Time-changed Markov processes in unified credit-equity modeling
- Elementary Solutions for Certain Parabolic Partial Differential Equations
- Spectral decomposition of option prices in fast mean-reverting stochastic volatility models
- A jump to default extended CEV model: an application of Bessel processes
- Pricing double barrier options using Laplace transforms
- Pricing derivatives on multiscale diffusions: an eigenfunction expansion approach
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