On the Markovian projection in the Brunick–Shreve mimicking result
Year of publication: |
2014
|
---|---|
Authors: | Forde, Martin |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 85.2014, C, p. 98-105
|
Publisher: |
Elsevier |
Subject: | Mimicking | Diffusion process | Local volatility models | Markovian projection |
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