PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH

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Publication:5416705

DOI10.1111/mafi.12007zbMath1291.91206arXiv1109.0738OpenAlexW3125093288MaRDI QIDQ5416705

Matthew Lorig

Publication date: 14 May 2014

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.0738




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