Pages that link to "Item:Q1425481"

The following pages link to On validity of the asymptotic expansion approach in contingent claim analysis (Q1425481):

Displaying 31 items.

• A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Q292908) (← links)
• A semigroup expansion for pricing barrier options (Q462410) (← links)
• Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads (Q763417) (← links)
• A new computational scheme for computing Greeks by the asymptotic expansion approach (Q853863) (← links)
• A formula of small time expansion for Young SDE driven by fractional Brownian motion (Q893911) (← links)
• An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Q1627727) (← links)
• Asymptotic expansion of a nonlinear oscillator with a jump-diffusion process (Q1756743) (← links)
• Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions (Q1999911) (← links)
• An FBSDE approach to American option pricing with an interacting particle method (Q2013320) (← links)
• Perturbative expansion technique for non-linear FBSDEs with interacting particle method (Q2013321) (← links)
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver (Q2133701) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737) (← links)
• NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME (Q2853382) (← links)
• Composition with distributions of Wiener-Poisson variables and its asymptotic expansion (Q2883883) (← links)
• A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus (Q3194571) (← links)
• On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
• Short-time at-the-money skew and rough fractional volatility (Q4555069) (← links)
• Asymptotic Expansion Approach in Finance (Q4560338) (← links)
• Short-Term At-the-Money Asymptotics under Stochastic Volatility Models (Q4968922) (← links)
• A polynomial scheme of asymptotic expansion for backward SDEs and option pricing (Q5001141) (← links)
• Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models (Q5219719) (← links)
• Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869) (← links)
• Making mean-variance hedging implementable in a partially observable market (Q5247228) (← links)
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)
• Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model (Q5742647) (← links)
• Control variate method for deep BSDE solver using weak approximation (Q6054320) (← links)
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (Q6106934) (← links)
• Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus (Q6176082) (← links)