EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
DOI10.1142/S0219024910005887zbMath1205.91153MaRDI QIDQ3580186
Eric Benhamou, Emmanuel Gobet, Mohammed Miri
Publication date: 11 August 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
asymptotic expansions; Taylor expansion; European options; CEV model; local volatility model; small diffusion process; Dupire model; implied Black-Scholes volatility; second and third order approximation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65C30: Numerical solutions to stochastic differential and integral equations
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