Approximation methods for inhomogeneous geometric Brownian motion
Luca Capriotti and Yupeng Jiang, Gaukhar Shaimerdenova
| Year of publication: |
2019
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|---|---|
| Authors: | Capriotti, Luca ; Jiang, Yupeng ; Shaimerdenova, Gaukhar |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 2, p. 1-16
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| Subject: | Inhomogeneous geometric Brownian motion | constant elasticity of variance | Arrow-Debreu security | derivative pricing | power series expansions | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500553 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012012939