Work

Solvable Diffusion Models with Linear and Mean-Reverting Nonlinear Drifts

Year: 2017

Type: article

Source: SIAM Journal on Financial Mathematics

DOI: 10.1137/15m1033502

Authors: Giuseppe Campolieti, Roman N. Makarov

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funder: Natural Sciences and Engineering Research Council of Canada

OpenAlex ID: W2588198751

FWCI: 0.388

Cites: 11

Cited by: 4

Related to: 10