Pricing exotic options and American options: a multidimensional asymptotic expansion approach

DOI10.1007/S10690-012-9163-YzbMATH Open1283.91195OpenAlexW2090581058MaRDI QIDQ356757FDOQ356757

Authors Masahiro Nishiba 

Publication date 26 July 2013

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-012-9163-y

zbMATH Keywords

asymptotic expansionMonte CarlosimulationCEV modelAmerican optionsHeston modelaverage strike option

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) Diffusion processes (60J60) Multidimensional problems (41A63) Ordinary differential equations and systems with randomness (34F05) Asymptotic expansions of solutions to ordinary differential equations (34E05)

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Cites work

• scientific article; zbMATH DE number 5145313 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• A general computation scheme for a high-order asymptotic expansion method
• A new computational scheme for computing Greeks by the asymptotic expansion approach
• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• A tree-based method to price American options in the Heston model
• 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
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems
• Efficient numerical methods for pricing American options under stochastic volatility
• Monte Carlo valuation of American options
• Multigrid for American option pricing with stochastic volatility
• Numerical recipes. The art of scientific computing.
• On multigrid for linear complementarity problems with application to American-style options
• Penalty methods for American options with stochastic volatility
• Quasi-Monte Carlo methods with applications in finance
• The asymptotic expansion approach to the valuation of interest rate contingent claims
• Toward real-time pricing of complex financial derivatives
• Valuing American options by simulation: a simple least-squares approach
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

Cited in

(10)

• Pricing and exercising American options: an asymptotic expansion approach
• Efficient pricing of European options on two underlying assets by frame duality
• On the pricing of exotic options: a new closed-form valuation approach
• An extension of the chaos expansion approximation for the pricing of exotic basket options
• Asymptotic expansion approach in finance
• On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
• The valuation of American options in a multidimensional exponential Lévy model
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
• SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING

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