An approximation of small-time probability density functions in a general jump diffusion model (Q668543)
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scientific article; zbMATH DE number 7037936
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An approximation of small-time probability density functions in a general jump diffusion model |
scientific article; zbMATH DE number 7037936 |
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An approximation of small-time probability density functions in a general jump diffusion model (English)
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19 March 2019
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jump diffusion process
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Itô-Taylor expansions
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stochastic volatility models
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characteristic functions
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probability density functions
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