Continuous-time perpetuities and time reversal of diffusions
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Publication:503390
DOI10.1007/s00780-016-0308-0zbMath1390.91303arXiv1411.7551OpenAlexW2181491881WikidataQ59615534 ScholiaQ59615534MaRDI QIDQ503390
Scott Robertson, Constantinos Kardaras
Publication date: 12 January 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.7551
Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
On inverse-power Poisson functionals ⋮ On distributions of exponential functionals of the processes with independent increments ⋮ On Exponential Functionals of Processes with Independent Increments
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