Asymptotic expansion for some local volatility models arising in finance
DOI10.1007/s10203-019-00247-wzbMath1432.91107arXiv1809.06596OpenAlexW2891201339WikidataQ127944260 ScholiaQ127944260MaRDI QIDQ2292052
Francesco Giuseppe Cordoni, Gregorio Pellegrini, Luca Di Persio, Sergio A. Albeverio
Publication date: 31 January 2020
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.06596
jump-diffusion modelspolynomial chaos expansion methodMonte Carlo techniqueslocal volatility modelspolynomial driftexponential driftcorrections to the Black-Scholes type modelssmall noise asymptotic expansions
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Financial markets (91G15)
Related Items (3)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotic approximations for probability integrals
- The Pricing of Options and Corporate Liabilities
- A class of Lévy driven SDEs and their explicit invariant measures
- Analytically tractable stochastic stock price models.
- An asymptotic expansion for a Black--Scholes type model
- Large deviations and asymptotic methods in finance
- Small noise asymptotic expansions for stochastic PDE's. I: The case of a dissipative polynomially bounded non linearity
- A new computational scheme for computing Greeks by the asymptotic expansion approach
- Interest rate models -- theory and practice. With smile, inflation and credit
- Term-structure models. A graduate course
- Smart expansion and fast calibration for jump diffusions
- Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation
- An asymptotic expansion approach to pricing financial contingent claims
- Pricing options under stochastic interest rates: a new approach
- First exit times for Lévy-driven diffusions with exponentially light jumps
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Malliavin calculus, geometric mixing, and expansion of diffusion functionals
- Polynomial chaos expansion approach to interest rate models
- Asymptotic expansion for small diffusions applied to option pricing
- Large-noise asymptotic for one-dimensional diffusions
- Stochastic calculus for finance. II: Continuous-time models.
- Asymptotic expansions for SDE's with small multiplicative noise
- Invariant measures for SDEs driven by Lévy noise: a case study for dissipative nonlinear drift in infinite dimension
- An adaptive multi-element generalized polynomial chaos method for stochastic differential equations
- Beyond Wiener-Askey expansions: handling arbitrary PDFs
- Conditional expansions and their applications.
- On the convergence of generalized polynomial chaos expansions
- A Theory of the Term Structure of Interest Rates
- Why Are Quadratic Normal Volatility Models Analytically Tractable?
- Adjoint Expansions in Local Lévy Models
- Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets
- Stochastic Integration in Banach Spaces
- An asymptotic expansion for local-stochastic volatility with jump models
- A Model with Interacting Assets Driven by Poisson Processes
- Lévy Processes and Stochastic Calculus
- Delta-hedging vega risk?
- Uniform asymptotic bounds for the heat kernel and the trace of a stochastic geodesic flow
- An Asymptotic Expansion with Push-Down of Malliavin Weights
- ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
- Option pricing when underlying stock returns are discontinuous
- Handbook of stochastic methods for physics, chemistry and the natural sciences.
This page was built for publication: Asymptotic expansion for some local volatility models arising in finance