Pagliarani, Stefano ; Pascucci, Andrea
(2011)
Analytical approximation of the transition density of a local volatility model.
[Preprint]
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Abstract
We present a simplified approach to the analytical approximation of the transition density related
to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.
Abstract
We present a simplified approach to the analytical approximation of the transition density related
to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.
Document type
Preprint
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Subjects
DOI
Deposit date
28 Apr 2011 09:38
Last modified
16 Sep 2011 09:27
URI
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Document type
Preprint
Creators
Subjects
DOI
Deposit date
28 Apr 2011 09:38
Last modified
16 Sep 2011 09:27
URI
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