Gaukhar Shaimerdenova

King Abdullah University of Science and Technology (KAUST) - Department of Computer, Electrical and Mathematical Sciences & Engineering

Al-Khawarizmi

Thuwal, 23955

Saudi Arabia

  • King Abdullah University of Science and Technology (KAUST) - Department of Computer, Electrical and Mathematical Sciences & Engineering

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Approximation Methods for Inhomogeneous Geometric Brownian Motion

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 16 Posted: 11 Oct 2018
Luca Capriotti, Yupeng Jiang and Gaukhar Shaimerdenova
Columbia University, University College London and King Abdullah University of Science and Technology (KAUST) - Department of Computer, Electrical and Mathematical Sciences & Engineering
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Abstract:

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Inhomogeneous Geometric Brownian Motion; Constant Elasticity of Variance; Arrow-Debreu Security, Derivative Pricing; Power Series Expansions