Weak approximation of averaged diffusion processes

DOI10.1016/J.SPA.2013.08.007zbMath1300.60094OpenAlexW1966829836MaRDI QIDQ2434489

Mohammed Miri, Emmanuel Gobet

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.08.007

zbMATH Keywords

asymptotic expansionMalliavin calculusarithmetic and geometric meanssmall diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (15)

Intrinsic expansions for averaged diffusion processes ⋮ SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ Geometric Asian option pricing in general affine stochastic volatility models with jumps ⋮ Analytical Approximations of BSDEs with Nonsmooth Driver ⋮ A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition ⋮ Weak approximations and VIX option price expansions in forward variance curve models ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ Intrinsic Taylor formula for Kolmogorov-type homogeneous groups ⋮ EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL ⋮ Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms ⋮ Pricing vulnerable claims in a Lévy-driven model ⋮ Asymptotics for short maturity Asian options in jump-diffusion models with local volatility ⋮ EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION ⋮ Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

Cites Work

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• Time Dependent Heston Model
• EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• The value of an Asian option
• Stochastic Expansion for the Pricing of Call Options with Discrete Dividends

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