ON PROPERTIES OF ANALYTICALLY SOLVABLE FAMILIES OF LOCAL VOLATILITY DIFFUSION MODELS

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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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Density of generalized Verhulst process and Bessel process with constant drift, Some results on optimal stopping under phase-type distributed implementation delay, A class of solvable multiple entry problems with forced exits, PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS, GENERALIZED RAYLEIGH AND JACOBI PROCESSES AND EXCEPTIONAL ORTHOGONAL POLYNOMIALS, Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts, Time Series Analysis and Calibration to Option Data: A Study of Various Asset Pricing Models

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