Abstract
This chapter gives a brief survey of continuous time finance. We categorize diffusion models according to the nature of their volatility coefficient. Models whose volatility coefficient does not exhibit randomness are treated in Sect. 3.1. Models whose volatility coefficient follows a stochastic process are discussed in Sect. 3.2.
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© 2002 Springer-Verlag Berlin Heidelberg
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Buff, R. (2002). Continuous Time Finance. In: Uncertain Volatility Models — Theory and Application. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-56323-2_3
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DOI: https://doi.org/10.1007/978-3-642-56323-2_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-42657-8
Online ISBN: 978-3-642-56323-2
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