Explicit density approximations for local volatility models using heat kernel expansions

DOI10.1007/s11009-015-9463-6zbMath1349.35149OpenAlexW3121739172MaRDI QIDQ340130

Mohammad Hasan, M. Dambrine

Publication date: 11 November 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9463-6

zbMATH Keywords

heat kernel expansionCEV modellocal volatilityshort rate models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)

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