APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION

DOI10.1142/S0219024918500553zbMath1411.91549OpenAlexW2896207634MaRDI QIDQ4631690

Luca Capriotti, Yupeng Jiang, Gaukhar Shaimerdenova

Publication date: 18 April 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500553

zbMATH Keywords

power series expansionsderivative pricingArrow-Debreu security

Mathematics Subject Classification ID

Power series (including lacunary series) in one complex variable (30B10) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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A long term analysis of stochastic theta methods for mean reverting linear process with jumps ⋮ An Optimal Polynomial Approximation of Brownian Motion ⋮ Optimal management of pumped hydroelectric production with state constrained optimal control

Cites Work

• Stochastic calculus for finance. I: The binomial asset pricing model.
• A Theory of the Term Structure of Interest Rates
• THE EXPONENT EXPANSION: AN EFFECTIVE APPROXIMATION OF TRANSITION PROBABILITIES OF DIFFUSION PROCESSES AND PRICING KERNELS OF FINANCIAL DERIVATIVES
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS
• THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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