Pages that link to "Item:Q5416705"

The following pages link to PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705):

Displaying 8 items.

• The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model (Q2232189) (← links)
• Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing (Q2806062) (← links)
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach (Q3635184) (← links)
• Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337) (← links)
• FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT (Q4565075) (← links)
• Application of the spectral theory and perturbation theory to the study of Ornstein-Uhlenbeck processes (Q4633469) (← links)
• Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation (Q5131408) (← links)
• The exact smile of certain local volatility models (Q5397427) (← links)