Nowak, Piotr; Gatarek, Dariusz Application of Itô processes and Schwartz distributions to local volatility for Margrabe options. (English) Zbl 1505.91388 Stochastics 94, No. 6, 807-832 (2022). MSC: 91G20 91G30 60H30 PDFBibTeX XMLCite \textit{P. Nowak} and \textit{D. Gatarek}, Stochastics 94, No. 6, 807--832 (2022; Zbl 1505.91388) Full Text: DOI
Słomiński, Leszek; Wojciechowski, Tomasz Stochastic differential equations with time-dependent reflecting barriers. (English) Zbl 1296.60175 Stochastics 85, No. 1, 27-47 (2013). Reviewer: Andrew Dale (Durban) MSC: 60H20 60G17 PDFBibTeX XMLCite \textit{L. Słomiński} and \textit{T. Wojciechowski}, Stochastics 85, No. 1, 27--47 (2013; Zbl 1296.60175) Full Text: DOI