P. K. Friz
- The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance
2006/04/13 by T. R. Cass, Thomas Cass, Cass, T. R. +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60H30 #60J75 #62P05 #91B28 #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60H30 #msc:60J75 #msc:62P05 #msc:91B28 #q-fin.PR
- Marginal density expansions for diffusions and stochastic volatility, part II: Applications [to the Stein--Stein model]
2013/05/29 by J. D. Deuschel, Deuschel, J. D., P. K. Friz +5 · 1 citation
Economics, Econometrics and Finance · Mathematics · #60H30 #91G80 #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR) #math.PR #msc:60H30 #msc:91G80 #q-fin.PR