Closed form asymptotics for local volatility models

Wen Cheng, Nick Costanzino, John Liechty, Anna L. Mazzucato, Victor Nistor

Type: Preprint

Publication Date: 2009-01-01

Citations: 1

DOI: https://doi.org/10.48550/arxiv.0910.2309

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Works Cited by This (18)

Action	Title	Year	Authors
+ PDF Chat	Curvature and the eigenvalues of the Laplacian	1967	H. P. McKean I. M. Singer
+	Semigroups of Linear Operators and Applications to Partial Differential Equations	1983	A. Pazy
+	Stochastic Analysis on Manifolds	2002	Elton P. Hsu
+	Asymptotic of the Green's Function of a Riemannian Manifold and Ito's Stochastic Integrals	1974	Paul Malliavin
+ PDF Chat	On distributions of certain Wiener functionals	1949	Mark Kac
+ PDF Chat	Asymptotic expansion of stochastic flows	1993	Fabienne Castell
+	DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY	1975	Stanislav Molchanov
+ PDF Chat	Heat kernel asymptotics and the distance function in Lipschitz Riemannian manifolds	1997	James R. Norris
+	Diffusion processes in a small time interval	1967	S. R. S. Varadhan
+	On the behavior of the fundamental solution of the heat equation with variable coefficients	1967	S. R. S. Varadhan