General asymptotics of Wiener functionals and application to implied volatilities

DOI10.1007/978-3-319-11605-1_5MaRDI QIDQ4560330zbMATH OpenOpenAlexFDO

Authors Yasufumi Osajima

Publication date 11 December 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-11605-1_5

zbMATH Keywords

asymptotic approximationHamilton equationMalliavin calculusSABR modelstochastic volatilityWiener functional

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Stochastic calculus of variations and the Malliavin calculus (60H07) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A remark on the asymptotic expansion of density function of Wiener functionals
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Computing the implied volatility in stochastic volatility models
• Equivalent Black volatilities
• scientific article; zbMATH DE number 193012 (Why is no real title available?)
• scientific article; zbMATH DE number 2109358 (Why is no real title available?)
• Large deviations and the Malliavin calculus
• Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations
• Marginal density expansions for diffusions and stochastic volatility. II: Applications
• Precise asymptotics of certain Wiener functionals
• Probability distribution in the SABR model of stochastic volatility
• The asymptotic expansion approach to the valuation of interest rate contingent claims
• Weak and strong Taylor methods for numerical solutions of stochastic differential equations

Cited in

(14)

• Precise Laplace asymptotics for singular stochastic PDEs: the case of 2D gPAM
• Precise asymptotics: robust stochastic volatility models
• Asymptotics of Implied Volatility far from Maturity
• Option pricing in the moderate deviations regime
• Asymptotics of implied volatility to arbitrary order
• An asymptotic expansion with push-down of Malliavin weights
• Short-dated smile under rough volatility: asymptotics and numerics
• Short-time near-the-money skew in rough fractional volatility models
• Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations
• Marginal density expansions for diffusions and stochastic volatility. II: Applications
• Reconstructing volatility: Pricing of index options under rough volatility
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
• Large deviation principle for stochastic differential equations driven by stochastic integrals
• A remark on the asymptotic expansion of density function of Wiener functionals

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