An Asymptotic Expansion with Push-Down of Malliavin Weights (Q4902206): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 05:58, 8 February 2024
scientific article; zbMATH DE number 6130638
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Asymptotic Expansion with Push-Down of Malliavin Weights |
scientific article; zbMATH DE number 6130638 |
Statements
An Asymptotic Expansion with Push-Down of Malliavin Weights (English)
0 references
25 January 2013
0 references
Malliavin calculus
0 references
asymptotic expansion
0 references
stochastic volatility
0 references
implied volatility
0 references
shifted log-normal model
0 references
jump-diffusion model
0 references
integration-by-parts
0 references
Malliavin weight
0 references
push-down
0 references
Malliavin calculus for Poisson processes
0 references
