References
[1]
Borodin A.,
Salminen, P. Handbook of Brownian motion: facts and formulae.
Birkhauser, 2002.
[2] Burtnyak I.V., Malytska A.P. CEV Model with Stochastic Volatility. Journal of Vasyl Stefanyk Precarpathian National University, 6 (3-4) (2019), 22-28. doi: 10.15330/jpnu.6.3-4.22-28
[3]
Malytska H., Burtnyak I. Construction of the fundamental solution of a
class of degenerate parabolic equations of high order. Carpathian
Math. Publ., 12 (1) (2020), 79-87.
doi:10.15330/cmp.12.1.79-87
[4]
Burtnyak
I.V., Malytska H.P. Degenerate parabolic systems of the diffusion type with inertia. Journal of Mathematical Sciences, 249 (3) (2020). doi: 10.1007/s10958-020-04947-2
[5]
Cox J.C.,
Ingersoll J.E., Ross S.A. A theory of the term structure of interest
rates. Econometrica, 53 (2) (1985), 385-408.
[6]
Going-Jaeschke A., Yor M. A
survey and some generalizations of Bessel processes. Bernoulli, 9 (2) (2003), 313-349. doi: 10.2307/3318942
[7]
Gorovoi V.,
Linetsky V. Black`s model of interest rates as options, eigenfunction
expansions and Japanese interest rates. Mathematical finance, 14
(1) 2004, 49-78. doi: 10.1111/j.0960-1627.2004.00181.x
[8]
Ho T.S.Y.,
Lee S. Term Structure Movements and Pricing Interest Rate
Contingent Claims. The Journal of Finance, 41 (5) (1986),
1011-1029. doi: 10.1111/j.1540-6261.1986.tb02528.x
[9]
Hull J.,
White A. The pricing of options on assets with stochastic volatilities. The
Journal of Finance, 42 (2) (1987), 281-300. doi: 10.1111/j.1540-6261.1987.tb02568.x
[10]
Linetsky V.
The spectral decomposition of the option value. International Journal of
Theoretical and Applied Finance, 7 (3) (2004), 337-384. doi: 10.1142/S0219024904002451
[11]
Lorig M.J.
Pricing Derivatives on Multiscale Diffusions: an Eigenfunction Expansion
Approach. Mathematical Finance, 24 (2) (2014), 331-363. doi: 10.1111/mafi.12007
[12]
Merton R.C.
Theory of Rational Option Pricing. Bell Journal of Economics and Management
Science, 4 (1) (1973), 141-183.
[13] Vasicek O. An equilibrium characterization of the term structure. Journal of Financial Economics, 5 (2) (1977), 177-188.