We show that the asymptotic mean of the log-likelihood ratio in a misspecified model is a differential geometric quantity that is related to the exponential curvature of Efron (1978), Amari (1982), and the preferred point geometry of Critchley et al. (1993, 1994). The mean is invariant with...

In this paper we provide an extensive classification of one- and two-dimensional diffusion processes which admit an exact solution to the Kolmogorov (and hence Black-Scholes) equation (in terms of hypergeometric functions). By identifying the one-dimensional solvable processes with the class of...