A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD

DOI10.1142/S0219024912500446zbMath1262.91072OpenAlexW2155276947MaRDI QIDQ4649507

Masashi Toda, Kohta Takehara, Akihiko Takahashi

Publication date: 22 November 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024912500446

zbMATH Keywords

asymptotic expansionstochastic volatilityMalliavin calculusapproximation formula\(\lambda\)-SABR model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

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