An Asymptotic Expansion with Push-Down of Malliavin Weights (Q4902206)
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scientific article; zbMATH DE number 6130638
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| English | An Asymptotic Expansion with Push-Down of Malliavin Weights |
scientific article; zbMATH DE number 6130638 |
Statements
An Asymptotic Expansion with Push-Down of Malliavin Weights (English)
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25 January 2013
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Malliavin calculus
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asymptotic expansion
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stochastic volatility
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implied volatility
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shifted log-normal model
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jump-diffusion model
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integration-by-parts
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Malliavin weight
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push-down
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Malliavin calculus for Poisson processes
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