Effective asymptotics analysis for finance

DOI10.1142/S0219024920500132MaRDI QIDQ5114683zbMATH OpenOpenAlexFDO

Authors Joris van der Hoeven, Cyril Grunspan

Publication date 25 June 2020

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

Full work available at URL https://doi.org/10.1142/s0219024920500132

zbMATH Keywords

algorithmasymptotic expansionexp-log functionHardy fieldspricing

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• Asymptotics and calibration of local volatility models
• Asymptotics of implied volatility in local volatility models
• Asymptotics of implied volatility to arbitrary order
• Generic asymptotic expansions
• Growth estimates for exp-log functions
• Heat kernel method and its applications
• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
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• scientific article; zbMATH DE number 1254307 (Why is no real title available?)
• scientific article; zbMATH DE number 1263353 (Why is no real title available?)
• scientific article; zbMATH DE number 1024661 (Why is no real title available?)
• scientific article; zbMATH DE number 3212150 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• scientific article; zbMATH DE number 3083760 (Why is no real title available?)
• Introduction to analyzable functions and constructive proof of the Dulac conjecture
• Lambert W random variables -- a new family of generalized skewed distributions with applications to risk estimation
• Large deviations and asymptotic methods in finance
• Lie symmetry methods for local volatility models
• On the Lambert \(w\) function
• ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
• Shapes of implied volatility with positive mass at zero
• Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
• Smile Asymptotics II: Models with Known Moment Generating Functions
• Symbolic asymptotics
• Symbolic asymptotics: Multiseries of inverse functions
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Transseries and real differential algebra
• Uniform bounds for Black-Scholes implied volatility
• Zero tests for constants in simple scientific computation

Cited in

(2)

• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
• Matched asymptotic expansions in financial engineering

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Uses Software

• Mathemagix

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