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)

zbMATH Keywords

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

Mathematics Subject Classification ID

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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Cites Work

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• Smart expansion and fast calibration for jump diffusions
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