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"Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts."

Giuseppe Campolieti, Roman N. Makarov (2017)

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DOI: 10.1137/15M1033502

access: closed

type: Journal Article

metadata version: 2021-10-14

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  - journals/siamfm/CampolietiM17
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  - https://dblp.org/rec/journals/siamfm/CampolietiM17
Giuseppe Campolieti, Roman N. Makarov:
Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts. SIAM J. Financial Math. 8(1): 146-170 (2017)

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