On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model
DOI10.1287/moor.2014.0683zbMath1337.60158OpenAlexW3023679964MaRDI QIDQ3449446
Toshihiro Yamada, Akihiko Takahashi
Publication date: 4 November 2015
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/c2b110d3a98cc1a2fe935d1237f815c15657fc8d
error estimatesasymptotic expansionMalliavin calculusoption pricestochastic volatility modelGreeksKusuoka-Stroock functions
Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (12)
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