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

DOI10.1007/s10690-012-9163-yzbMath1283.91195MaRDI QIDQ356757

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

simulation; asymptotic expansion; Monte Carlo; American options; Heston model; CEV model; average strike option

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60J60: Diffusion processes

91G20: Derivative securities (option pricing, hedging, etc.)

34F05: Ordinary differential equations and systems with randomness

60H07: Stochastic calculus of variations and the Malliavin calculus

41A63: Multidimensional problems

34E05: Asymptotic expansions of solutions to ordinary differential equations

Related Items

Asymptotic Expansion Approach in Finance

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