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Carr, Peter - In: Risks : open access journal 5 (2017) 4, pp. 1-24

Diffusions are widely used in finance due to their tractability. Driftless diffusions are needed to describe ratios of asset prices under a martingale measure. We provide a simple example of a tractable driftless diffusion which also has a bounded state space.

Persistent link: https://www.econbiz.de/10011783753

Robust nonparametric estimation for the volatility of financial market

Kao, Chunyu; Song, Yuping - In: International journal of financial engineering 10 (2023) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10014251158

Pricing derivatives on multiscale diffusions : an eigenfunction expansion approach

Lorig, Matthew - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 331-363

Persistent link: https://www.econbiz.de/10010357372

Closed-form solutions for options with random initiation under asset price monitoring

Jun, Doobae; Ku, Hyejin - In: Finance research letters 20 (2017), pp. 68-74

Persistent link: https://www.econbiz.de/10011806786