Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity (Q1630666)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity |
scientific article |
Statements
Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity (English)
0 references
10 December 2018
0 references
short-time asymptotics
0 references
local jump-diffusion Markov models
0 references
stochastic differential equations with jumps
0 references
option pricing
0 references
0 references
