Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition

DOI10.1007/s11579-021-00300-6zbMath1484.91487arXiv1912.03404OpenAlexW3185872040MaRDI QIDQ2120590

Hyungbin Park

Publication date: 1 April 2022

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.03404

zbMATH Keywords

sensitivityMarkov processHansen-Scheinkman decompositionlarge-time analysisPDE representation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (1)

Influence of risk tolerance on long-term investments: a Malliavin calculus approach

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