Explicit pathwise expansion for multivariate diffusions with applications
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- A theory of the term structure of interest rates
- An asymptotic expansion approach to pricing financial contingent claims
- An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- ARCH models as diffusion approximations
- Asymptotic and non asymptotic approximations for option valuation
- Asymptotic expansion approach in finance
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Closed-form expansion, conditional expectation, and option valuation
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- Closed-form likelihood expansions for multivariate diffusions
- Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
- Density approximations for multivariate affine jump-diffusion processes
- Estimating jump-diffusions using closed-form likelihood expansions
- Exact simulation of diffusions
- Explicit form of approximate transition probability density functions of diffusion processes
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
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- Localization and exact simulation of Brownian motion-driven stochastic differential equations
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
- Maximum-likelihood estimation for diffusion processes via closed-form density expansions
- Methods of mathematical finance
- On the pricing of forward starting options in Heston's model on stochastic volatility
- On validity of the asymptotic expansion approach in contingent claim analysis
- Saddlepoint approximations for continuous-time Markov processes
- The asymptotic expansion approach to the valuation of interest rate contingent claims
- The dynamics of stochastic volatility: evidence from underlying and options markets
- THE GARCH OPTION PRICING MODEL
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