Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts

DOI10.1137/15M1033502MaRDI QIDQ2962134zbMATH OpenFDO

Authors G. Campolieti, R. Makarov

Publication date 16 February 2017

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/15M1033502

zbMATH Keywords

FX optionsnonlinear mean-reverting drift modelsnonlinear volatility diffusion modelsOrnstein-Uhlenbeck processessolvable continuous-time stochastic processessquared Bessel processesVIX options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)

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Cited in

(3)

• On properties of analytically solvable families of local volatility diffusion models
• Transformations of Markov processes and classification scheme for solvable driftless diffusions
• A multifactor transformed diffusion model with applications to VIX and VIX futures

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