scientific article; zbMATH DE number 1079018

zbMATH Open0892.60074MaRDI QIDQ4361192FDOQ4361192

Authors: Eric Fournié, Jérôme Lebuchoux, Nizar Touzi 

Publication date: 9 December 1997

Title of this publication is not available (Why is that?)

Recommendations

• scientific article; zbMATH DE number 1069624
• Asymptotic expansion for some local volatility models arising in finance
• An asymptotic expansion for a Black--Scholes type model
• Uniform asymptotic expansions for pricing European options

zbMATH Keywords

asymptotic expansionMonte Carlo simulationssecond-order differential operatorscomputation of European contingent claim pricessampling variance reduction procedure

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inference from stochastic processes and prediction (62M20) Financial applications of other theories (91G80)

Cited In (5)

• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
• A smooth estimator for MC/QMC methods in finance
• Nonasymptotic performance analysis of importance sampling schemes for small noise diffusions
• Importance sampling for McKean-Vlasov SDEs
• Variance reduction for Monte Carlo simulation in a stochastic volatility environment

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4361192)