Pages that link to "Item:Q455879"

The following pages link to Approximations for Asian options in local volatility models (Q455879):

Displaying 24 items.

• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• A numerical study of Asian option with high-order compact finite difference scheme (Q721576) (← links)
• Intrinsic Taylor formula for Kolmogorov-type homogeneous groups (Q898831) (← links)
• Tube estimates for diffusion processes under a weak Hörmander condition (Q1635973) (← links)
• Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
• Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options (Q2274018) (← links)
• Particle methods for PDEs arising in financial modeling (Q2343601) (← links)
• Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
• Weak approximation of averaged diffusion processes (Q2434489) (← links)
• Hedging strategies for discretely monitored Asian options under Lévy processes (Q2438429) (← links)
• Pricing average options under time-changed Lévy processes (Q2447509) (← links)
• Existence of a fundamental solution of partial differential equations associated to Asian options (Q2665499) (← links)
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition (Q2674299) (← links)
• Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
• On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
• Asymptotic Expansion Approach in Finance (Q4560338) (← links)
• MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS (Q4584697) (← links)
• SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL (Q4608115) (← links)
• EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options (Q5233177) (← links)
• Short Maturity Forward Start Asian Options in Local Volatility Models (Q5241901) (← links)
• SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL (Q6095474) (← links)
• Asymptotics for short maturity Asian options in jump-diffusion models with local volatility (Q6576884) (← links)