Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition
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Publication:2120590
DOI10.1007/s11579-021-00300-6zbMath1484.91487arXiv1912.03404OpenAlexW3185872040MaRDI QIDQ2120590
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
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)
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