On a new parametrization class of solvable diffusion models and transition probability kernels-Reference-Cited by-同舟云学术

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On a new parametrization class of solvable diffusion models and transition probability kernels

Published:2018-11-14 Issue:10 Volume:21 Page:1773-1790
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Tudor Sebastian F.¹,Chatterjee Rupak²³,Tydniouk Igor⁴

Affiliation:

1. School of Business, FE Division, Stevens Institute of Technology, Hoboken, NJ 07030, USA

2. Department of Physics, Stevens Institute of Technology, Hoboken, NJ 07030, USA

3. Center for Quantum Science and Engineering, Stevens Institute of Technology, Hoboken, NJ 07030, USA

4. Citigroup Global Markets Inc., New York, NY 10013, USA

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1520392

Reference49 articles.

1. Alos, E., Chatterjee, R., Tudor, S. and Wang, T.H., Target volatility option pricing in lognormal fractional SABR model, 2018. arXiv preprint arXiv:1801.08215.

2. Pricing under rough volatility

3. The Pricing of Options and Corporate Liabilities

4. THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS

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