NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME

DOI10.1142/S0219024913500313zbMath1303.91192MaRDI QIDQ2853382

Masashi Toda, Akihiko Takahashi

Publication date: 21 October 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansionMalliavin calculusoption pricingCEV modelstochastic volatility modelSABR model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (4)

A weak approximation with asymptotic expansion and multidimensional Malliavin weights ⋮ Asymptotic Expansion Approach in Finance ⋮ Momentum-space approach to asymptotic expansion for stochastic filtering ⋮ Asymptotic expansion of a nonlinear oscillator with a jump-diffusion process

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