Asymptotic and non asymptotic approximations for option valuation

DOI10.1142/9789814436434_0004MaRDI QIDQ2849673zbMATH OpenOpenAlexFDO

Authors R. Bompis, Emmanuel Gobet

Publication date 24 September 2013

Published in Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789814436434_0004

zbMATH Keywords

Malliavin calculusasymptotic behaviorimplied volatilityapproximation methodscall optionoption priceslocal volatility modelapproximations third orderextreme strikenormal and log-normal proxynumerical point of viewtheoretical point of view

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Recommendations

• New approximations in local volatility models
• Approximations for Asian options in local volatility models
• Expansion formulas for European options in a local volatility model
• Local stochastic volatility with jumps: analytical approximations
• Asymptotic expansion method for local volatility models

Cited in

(28)

• Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
• Asymptotic analysis for stochastic volatility: Edgeworth expansion
• Option valuation by a self-exciting threshold binomial model
• An arbitrage-free approach to quasi-option value
• Asymptotic and exact pricing of options on variance
• Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
• An adaptive averaging binomial method for option valuation
• New approximations in local volatility models
• Extrapolation analytics for Dupire's local volatility
• Approximations for Asian options in local volatility models
• Large-maturity regimes of the Heston forward smile
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
• scientific article; zbMATH DE number 2159230 (Why is no real title available?)
• Valuation of an option using non-parametric methods
• Analytical Approximations of BSDEs with Nonsmooth Driver
• APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
• Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
• Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
• Weak approximation of averaged diffusion processes
• scientific article; zbMATH DE number 1124633 (Why is no real title available?)
• A family of density expansions for Lévy-type processes
• Asymptotics for $$d$$ -Dimensional Lévy-Type Processes
• Analytical formulas for a local volatility model with stochastic rates
• Noncommutative valuation of options
• Option price decomposition in spot-dependent volatility models and some applications
• Expansion formulas for European options in a local volatility model
• Analytical approximations of non-linear SDEs of McKean-Vlasov type
• Analytical approximation of variable annuities for small volatility and small withdrawal

This page was built for publication: Asymptotic and non asymptotic approximations for option valuation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2849673)