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

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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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Cited In (6)

• SINGULAR PERTURBATION TECHNIQUES APPLIED TO MULTIASSET OPTION PRICING
• On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices
• Asymptotic Expansion Approach in Finance
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
• The valuation of American options in a multidimensional exponential Lévy model
• THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS

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