| Title | SOME PROPERTIES OF DIFFUSION PROCESSES WITH SINGULAR COEFFICIENTS |
| Publication Type | Journal Article |
| Year of Publication | 2006 |
| Authors | Lions, P-L, Musiela, M |
| Secondary Title | Communications in Applied Analysis |
| Volume | 10 |
| Issue | 1 |
| Start Page | 109 |
| Pagination | 126 |
| Date Published | 01/2006 |
| Type of Work | scientific: mathematics |
| ISSN | 1083–2564 |
| AMS | 58G32, 60J60, 60J70, 62P05 |
| URL | http://www.acadsol.eu/en/articles/10/1/2.pdf |
| Short Title | Some Properties of Diffusion Processes |
| Refereed Designation | Refereed |
| Full Text | REFERENCES[1] S. Beckers, The constant elasticity of variance model and its implications for option pricing, J. Finance, 35 (1980), 661-673.
[2] D.H. Goldenberg, A unified method of pricing options on diffusion processes, J. Finan. Econom., 29 (1991), 3-34.
[3] P-L. Lions and H. Regnier, Work in preparation. [4] A. Lipton, Mathematical Methods for Foreign Exchangs. A Financial Engineer’s Approach, World Scientific, Singapore, 2001. [5] C.F. Lo, P.H. Huan, and C.H. Lui, Constant elasticity of variance option pricing model with time dependent parameters, Intern. J. Theor. Appl. Finance, 3 (2000), 661-674. [6] M. Musiela and M. Rutkowski, Martingale Methods in Financial Models, Second Edition, Springer, Berlin, 2005. [7] M. Schroder, Computing the constant elasticity of variance option pricing formula, J. Finance, 44 (1989), 211-219. [8] D.W. Stroock and S.R.S. Varadhan, Multidimensional Diffusion Processes, Springer, Berlin, 1979. |