Analytical approximation of the transition density in a local volatility model

DOI10.2478/s11533-011-0115-yzbMath1246.91137arXiv1510.06084OpenAlexW3124430067MaRDI 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

zbMATH Keywords

transition densityheat kernel expansionanalytical approximationimplied volatilityBlack-Scholes formulaFeller processlocal volatilitylocal diffusionslocal-stochastic volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (31)

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