Note on an extension of an asymptotic expansion scheme
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Publication:2853382
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)
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Cites work
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 3569510 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
- A general computation scheme for a high-order asymptotic expansion method
- A new computational scheme for computing Greeks by the asymptotic expansion approach
- A remark on a singular perturbation method for option pricing under a stochastic volatility model
- A remark on the asymptotic expansion of density function of Wiener functionals
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- An asymptotic expansion approach to pricing financial contingent claims
- An asymptotic expansion scheme for optimal investment problems
- An asymptotic expansion with push-down of Malliavin weights
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Analysis, Geometry, and Modeling in Finance
- Analytical approximation for non-linear FBSDEs with perturbation scheme
- Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
- Asymptotics of implied volatility in local volatility models
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
- On the moments of a multiple wiener-ito integral and the space induced by the polynomials of the integral
- On validity of the asymptotic expansion approach in contingent claim analysis
- Precise asymptotics of certain Wiener functionals
- Pricing and hedging of long-term futures and forward contracts by a three-factor model
- Pricing discrete barrier options under stochastic volatility
- Probability distribution and option pricing for drawdown in a stochastic volatility environment
- Stochastic calculus of variations in mathematical finance.
- The asymptotic expansion approach to the valuation of interest rate contingent claims
- Weak and strong Taylor methods for numerical solutions of stochastic differential equations
Cited in
(7)- A new asymptotic energy expansion method
- A weak approximation with asymptotic expansion and multidimensional Malliavin weights
- Asymptotic expansion of a nonlinear oscillator with a jump-diffusion process
- A general computation scheme for a high-order asymptotic expansion method
- Asymptotic expansion approach in finance
- Momentum-space approach to asymptotic expansion for stochastic filtering
- A note on the proper choice of scales in two variable expansions
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