Closed-form approximations for diffusion densities: A path integral approach.

DOI10.1016/j.cam.2003.09.006zbMath1039.60070OpenAlexW2150821226MaRDI QIDQ1426782

Marc Decamps, Ann De Schepper, Marc J. Goovaerts

Publication date: 15 March 2004

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2003.09.006

zbMATH Keywords

stochastic differential equationdiffusion processtransition probabilitycomonotonicityphase integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (3)

Implied Volatility from Local Volatility: A Path Integral Approach ⋮ A recursive approach to mortality-linked derivative pricing ⋮ Closed-form approximations for diffusion densities: A path integral approach.

Cites Work

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• Stochastic processes defined from a Lagrangian
• The GARCH (1,1)-\(M\) model: results for the densities of the variance and the mean
• The distributions of annuities
• Closed-form approximations for diffusion densities: A path integral approach.
• Path−integral evaluation of a nonstationary Calogero model
• Elementary Stochastic Calculus, with Finance in View
• Master equation based formulation of nonequilibrium statistical mechanics
• Upper and lower bounds for sums of random variables

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