PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705)
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scientific article; zbMATH DE number 6295267
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH |
scientific article; zbMATH DE number 6295267 |
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PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (English)
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14 May 2014
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derivative pricing
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spectral theory
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perturbation theory
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stochastic volatility
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local volatility
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default
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eigenfunction
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