Asymptotic expansion for some local volatility models arising in finance (Q2292052)
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scientific article; zbMATH DE number 7161597
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| English | Asymptotic expansion for some local volatility models arising in finance |
scientific article; zbMATH DE number 7161597 |
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Asymptotic expansion for some local volatility models arising in finance (English)
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31 January 2020
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local volatility models
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small noise asymptotic expansions
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corrections to the Black-Scholes type models
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jump-diffusion models
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polynomial drift
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exponential drift
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polynomial chaos expansion method
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Monte Carlo techniques
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0.9559334
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0.9472878
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0.9251015
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0.92208296
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0.91076964
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0.90241617
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0.90067077
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0.89898795
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0.8986155
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