Asymptotic and non asymptotic approximations for option valuation
DOI10.1142/9789814436434_0004zbMath1293.91178OpenAlexW1571766743MaRDI QIDQ2849673
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
asymptotic behaviorapproximation methodsMalliavin calculusimplied volatilitycall optionoption priceslocal volatility modelapproximations third orderextreme strikenormal and log-normal proxynumerical point of viewtheoretical point of view
Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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