Mimicking an itô process by a solution of a stochastic differential equation

Annals of Applied Probability

Volumn 23, Issue 4, 2013, Pages 1584-1628

  Brunick, Gerard ^a   Shreve, Steven ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Derivative security pricing; It process; Stochastic differential equation; Stochastic volatility models

Indexed keywords

EID: 84879748254     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AAP881     Document Type: Article

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