A general computation scheme for a high-order asymptotic expansion method (Q4649507)
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scientific article; zbMATH DE number 6109794
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| English | A general computation scheme for a high-order asymptotic expansion method |
scientific article; zbMATH DE number 6109794 |
Statements
A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD (English)
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22 November 2012
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asymptotic expansion
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Malliavin calculus
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approximation formula
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stochastic volatility
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\(\lambda\)-SABR model
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0.8615002632141113
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0.8592668175697327
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0.7931284308433533
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0.7754964828491211
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0.772602915763855
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