An asymptotic expansion approach to pricing financial contingent claims

From MaRDI portal
Publication:1000476

DOI10.1023/A:1010080610650zbMath1153.91568OpenAlexW105642227MaRDI QIDQ1000476

Akihiko Takahashi

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010080610650



Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (54)

ANALYTICAL APPROXIMATION FOR NON-LINEAR FBSDEs WITH PERTURBATION SCHEMEA unified approach for the pricing of options relating to averagesAn asymptotic expansion for forward-backward SDEs: a Malliavin calculus approachA weak approximation with asymptotic expansion and multidimensional Malliavin weightsA new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solverAn eigenfunction expansion approach for the derivation of asymptotic expansions in financial valuation problemsOn drift parameter estimation for mean-reversion type stochastic differential equations with discrete observationsOptimal investment strategy with constant absolute risk aversion utility under an extended CEV modelLower bound approximation of nonlinear basket option with jump-diffusionA new computational scheme for computing Greeks by the asymptotic expansion approachAsymptotic Expansion Approach in FinanceA Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin CalculusPricing exotic options and American options: a multidimensional asymptotic expansion approachLeast squares estimators for discretely observed stochastic processes driven by small Lévy noisesPricing discrete barrier options under stochastic volatilityAn Extension of the Chaos Expansion Approximation for the Pricing of Exotic Basket OptionsAPPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACHSolving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculusMomentum-space approach to asymptotic expansion for stochastic filteringFOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONSLeast squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noisesEstimation of intrinsic growth factors in a class of stochastic population modelOn validity of the asymptotic expansion approach in contingent claim analysisStatistical inference for stochastic differential equations with small noisesMinimum distance parameter estimation for SDEs with small \(\alpha\)-stable noisesAn extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contractsEXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODELAn approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity marketsAn asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange ratesA GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHODPricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transformsLeast squares estimators for stochastic differential equations driven by small Lévy noisesSolving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansionsAn FBSDE approach to American option pricing with an interacting particle methodPerturbative expansion technique for non-linear FBSDEs with interacting particle methodCarr-Nadtochiy's weak reflection principle for Markov chains on \(\mathbb{Z}^d\)A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONSLeast squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noisesAsymptotic expansion for some local volatility models arising in financePricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion ModelsPricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreadsClosed-Form Expansions of Discretely Monitored Asian Options in Diffusion ModelsMaking mean-variance hedging implementable in a partially observable marketA chaos expansion approach under hybrid volatility modelsA polynomial scheme of asymptotic expansion for backward SDEs and option pricingNOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEMEAN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELSConditional expansions and their applications.Pricing and exercising American options: an asymptotic expansion approachREPLICATION SCHEME FOR THE PRICING OF EUROPEAN OPTIONSArtificial neural network for option pricing with and without asymptotic correctionAsymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rateAN ANALYTICAL APPROXIMATION FOR EUROPEAN OPTION PRICES UNDER STOCHASTIC INTEREST RATESCCF approach for asymptotic option pricing under the CEV diffusion




This page was built for publication: An asymptotic expansion approach to pricing financial contingent claims