An Extension to Gaussian Semigroup and Some Applications
Probability
2008-12-10 v1 Computational Finance
Abstract
We look at the semigroup generated by a system of heat equations. Applications to testing normality and option pricing are addressed.
Cite
@article{arxiv.math/0611644,
title = {An Extension to Gaussian Semigroup and Some Applications},
author = {Guibao Liu},
journal= {arXiv preprint arXiv:math/0611644},
year = {2008}
}
Comments
16 pages, 4 figures