Note on an extension of an asymptotic expansion scheme

DOI10.1142/S0219024913500313zbMATH Open1303.91192MaRDI QIDQ2853382FDOQ2853382

Authors: Akihiko Takahashi, Masashi Toda 

Publication date: 21 October 2013

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

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zbMATH Keywords

asymptotic expansionMalliavin calculusoption pricingCEV modelstochastic volatility modelSABR model

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) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Cites Work

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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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