Asymptotic and non asymptotic approximations for option valuation

DOI10.1142/9789814436434_0004zbMATH Open1293.91178OpenAlexW1571766743MaRDI QIDQ2849673FDOQ2849673

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

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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)

Cited In (27)

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