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)

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• Large-maturity regimes of the Heston forward smile
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• Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
• Asymptotics for $$d$$ -Dimensional Lévy-Type Processes
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• APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
• Option price decomposition in spot-dependent volatility models and some applications
• Expansion formulas for European options in a local volatility model
• scientific article; zbMATH DE number 1124633 (Why is no real title available?)
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• Option valuation by a self-exciting threshold binomial model
• Higher order approximation of option prices in Barndorff-Nielsen and Shephard models
• Asymptotic and exact pricing of options on variance
• An adaptive averaging binomial method for option valuation
• Weak approximation of averaged diffusion processes
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps

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