ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS
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Publication:4906524
DOI10.1111/j.1467-9965.2012.00521.xzbMath1278.91111MaRDI QIDQ4906524
R. N. Makarov, Giuseppe Campolieti
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2012.00521.x
Bessel process; option pricing; Ornstein-Uhlenbeck process; implied volatility smile; CEV model; CIR process; first exit time; Jacobi process; nonlinear volatility diffusions; solvable hypergeometric diffusions
91B70: Stochastic models in economics
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J60: Diffusion processes
91G20: Derivative securities (option pricing, hedging, etc.)
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