An asymptotic expansion approach to pricing financial contingent claims

DOI10.1023/A:1010080610650zbMath1153.91568OpenAlexW105642227MaRDI QIDQ1000476

Akihiko Takahashi

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010080610650

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (54)

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

This page was built for publication: An asymptotic expansion approach to pricing financial contingent claims