Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques

Bjarke Jensen, Rolf Poulsen

68 Citations (Scopus)

Abstract

Diffusion Process

@article{9ade29d074c211dbbee902004c4f4f50,

title = "Transition Densities of Diffusion Processes: Numerical Comparison of Approximation Techniques",

abstract = "Diffusion Process",

author = "Bjarke Jensen and Rolf Poulsen",

year = "2002",

language = "English",

volume = "9",

pages = "18--32",

journal = "Journal of Derivatives",

issn = "1074-1240",

publisher = "Institutional Investor",

number = "4",

}