An asymptotic expansion for a Black--Scholes type model (Q707247): Difference between revisions

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Latest revision as of 17:02, 7 June 2024

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An asymptotic expansion for a Black--Scholes type model
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    An asymptotic expansion for a Black--Scholes type model (English)
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    9 February 2005
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    This paper derives the asymptotic expansion of the expected value of the European call option when the volatility of the underlying asset is not constant but, instead, is subject to small perturbations (in the sense of perturbation theory). A link between analyticity of the solution and Borel-summability is also established.
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    Black-Scholes
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    Malliavin calculus
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    asymptotic expansion
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    perturbation theory
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