Weak approximation of averaged diffusion processes

DOI10.1016/J.SPA.2013.08.007zbMATH Open1300.60094OpenAlexW1966829836MaRDI QIDQ2434489FDOQ2434489

Mohammed Miri, Emmanuel Gobet

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.08.007

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zbMATH Keywords

asymptotic expansionMalliavin calculusarithmetic and geometric meanssmall diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60)

Cites Work

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Cited In (17)

• Pricing vulnerable claims in a Lévy-driven model
• Analytical Approximations of BSDEs with Nonsmooth Driver
• Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
• Intrinsic expansions for averaged diffusion processes
• EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION
• Weak approximations and VIX option price expansions in forward variance curve models
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
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• Short Maturity Asian Options in Local Volatility Models
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
• Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models
• Title not available (Why is that?)
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew

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