Asymptotic expansion for some local volatility models arising in finance
DOI10.1007/s10203-019-00247-wzbMath1432.91107arXiv1809.06596MaRDI QIDQ2292052
Luca Di Persio, Sergio A. Albeverio, Gregorio Pellegrini, Francesco Giuseppe Cordoni
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 models; polynomial chaos expansion method; Monte Carlo techniques; local volatility models; polynomial drift; exponential drift; corrections to the Black-Scholes type models; small noise asymptotic expansions
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.)
91G15: Financial markets