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Applied Mathematical Finance Volume 27, 2020 - Issue 1-2

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Numerical Ross Recovery for Diffusion Processes Using a PDE Approach

Lina von Sydowa Division of Scientific Computing, Department of Information Technology, Uppsala University, Uppsala, SwedenCorrespondence[email protected]

Johan Waldenb University of Lausanne, Swiss Finance Institute, and UC Berkeley, Berkeley, CA, USA

Pages 46-66 | Received 20 Jan 2019, Accepted 12 Feb 2020, Published online: 18 Mar 2020

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https://doi.org/10.1080/1350486X.2020.1730202
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Articles from other publishers (1)

Joseph Golec, Yuewu Xu & Xiangkun Yao. (2022) Empirical Ross recovery without discretization. Financial Review 57:2, pages 345-367.
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