Analytical approximation of the transition density in a local volatility model
Publication:432231
DOI10.2478/s11533-011-0115-yzbMath1246.91137arXiv1510.06084MaRDI QIDQ432231
Andrea Pascucci, Stefano Pagliarani
Publication date: 3 July 2012
Published in: Finance and Stochastics, Central European Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.06084
transition density; heat kernel expansion; analytical approximation; implied volatility; Black-Scholes formula; Feller process; local volatility; local diffusions; local-stochastic volatility
91G60: Numerical methods (including Monte Carlo methods)
60J60: Diffusion processes
91G20: Derivative securities (option pricing, hedging, etc.)
91B26: Auctions, bargaining, bidding and selling, and other market models
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
35K10: Second-order parabolic equations
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
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