Infinite-dimensional polynomial processes
From MaRDI portal
Publication:2022767
DOI10.1007/s00780-021-00450-xzbMath1461.91310arXiv1911.02614OpenAlexW3133522702MaRDI QIDQ2022767
Sara Svaluto-Ferro, Christa Cuchiero
Publication date: 29 April 2021
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.02614
dual processesVIX optionspolynomial processesrough volatilityforward variance modelsinfinite-dimensional Markov processessignature process
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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