Explicit density approximations for local volatility models using heat kernel expansions (Q340130)
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scientific article; zbMATH DE number 6652326
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Explicit density approximations for local volatility models using heat kernel expansions |
scientific article; zbMATH DE number 6652326 |
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Explicit density approximations for local volatility models using heat kernel expansions (English)
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11 November 2016
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heat kernel expansion
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local volatility
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CEV model
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short rate models
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0.89688826
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0.89229184
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0.8835103
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0.8788846
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0.8779276
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0.8718436
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0.8716932
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