Marginal density expansions for diffusions and stochastic volatility, part II: Applications

Abstract

In [17] we discussed density expansions for multidimensional diffusions ( X, . . . , X ) , at fixed time T and projected to their first l coordinates, in the small noise regime. Global conditions were found which replace the well-known ”not-in-cutlocus” condition known from heat-kernel asymptotics. In the present paper we discuss financial applications… (More)

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