Solvable Diffusion Models with Linear and Mean-Reverting...

SIAM Journal on Financial Mathematics 2017 / 01 Vol. 8; Iss. 1

Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts

Campolieti, Giuseppe, Makarov, Roman N.
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Volume:
8
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/15M1033502
Date:
January, 2017
File:
PDF, 494 KB
english, 2017
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