A path-integral approximation for non-linear diffusions
From MaRDI portal
Publication:5215434
DOI10.1080/14697688.2019.1646924zbMath1431.91389MaRDI QIDQ5215434
Publication date: 10 February 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1646924
stochastic processes; path integrals; derivative pricing; maximum-likelihood estimation; zero-coupon bonds; Black-Karasinski model; Arrow-Debreu pricing
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
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