General Asymptotics of Wiener Functionals and Application to Implied Volatilities

DOI10.1007/978-3-319-11605-1_5zbMath1418.91532OpenAlexW864294275MaRDI QIDQ4560330

Yasufumi Osajima

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_5

zbMATH Keywords

stochastic volatilityMalliavin calculusasymptotic approximationHamilton equationSABR modelWiener functional

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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