Numerical Ross Recovery for Diffusion Processes Using a PDE Approach

DOI10.1080/1350486X.2020.1730202zbMath1451.91228OpenAlexW3011061214MaRDI QIDQ5126678

Johan Walden, Lina von Sydow

Publication date: 20 October 2020

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2020.1730202

zbMATH Keywords

numerical methoddiffusion processRoss recovery

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15) Financial markets (91G15)

Cites Work

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• Functional Ross recovery: theoretical results and empirical tests
• Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing
• Dynamic Valuation Decomposition Within Stochastic Economies
• Long-Term Risk: An Operator Approach
• Recovery with Unbounded Diffusion Processes*
• Ross recovery with recurrent and transient processes
• Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth

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