Pages that link to "Item:Q1000476"

The following pages link to An asymptotic expansion approach to pricing financial contingent claims (Q1000476):

Displaying 50 items.

• A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Q292908) (← links)
• On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations (Q307401) (← links)
• Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises (Q391568) (← links)
• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066) (← links)
• Least squares estimators for stochastic differential equations driven by small Lévy noises (Q529425) (← links)
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts (Q659261) (← links)
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises (Q731952) (← links)
• Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads (Q763417) (← links)
• A new computational scheme for computing Greeks by the asymptotic expansion approach (Q853863) (← links)
• On validity of the asymptotic expansion approach in contingent claim analysis (Q1425481) (← links)
• A unified approach for the pricing of options relating to averages (Q1627630) (← links)
• An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Q1627727) (← links)
• Statistical inference for stochastic differential equations with small noises (Q1724191) (← links)
• Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises (Q1726804) (← links)
• Pricing discrete barrier options under stochastic volatility (Q1929151) (← links)
• Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911) (← links)
• An FBSDE approach to American option pricing with an interacting particle method (Q2013320) (← links)
• Perturbative expansion technique for non-linear FBSDEs with interacting particle method (Q2013321) (← links)
• Carr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\) (Q2024611) (← links)
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver (Q2133701) (← links)
• Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises (Q2213423) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• Asymptotic expansion for some local volatility models arising in finance (Q2292052) (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
• Momentum-space approach to asymptotic expansion for stochastic filtering (Q2434137) (← links)
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737) (← links)
• Conditional expansions and their applications. (Q2574589) (← links)
• NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME (Q2853382) (← links)
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
• ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEME (Q3166711) (← links)
• A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus (Q3194571) (← links)
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS (Q3520539) (← links)
• Asymptotic Expansion Approach in Finance (Q4560338) (← links)
• An Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket Options (Q4585895) (← links)
• EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
• A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD (Q4649507) (← links)
• A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141) (← links)
• REPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONS (Q5010065) (← links)
• Artificial neural network for option pricing with and without asymptotic correction (Q5014190) (← links)
• CCF approach for asymptotic option pricing under the CEV diffusion (Q5030626) (← links)
• An eigenfunction expansion approach for the derivation of asymptotic expansions in financial valuation problems (Q5047117) (← links)
• Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model (Q5055305) (← links)
• Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models (Q5219719) (← links)
• Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869) (← links)
• Making mean-variance hedging implementable in a partially observable market (Q5247228) (← links)
• A chaos expansion approach under hybrid volatility models (Q5247273) (← links)
• AN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATES (Q5265241) (← links)
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)