A general computation scheme for a high-order asymptotic expansion method

DOI10.1142/S0219024912500446MaRDI QIDQ4649507zbMATH OpenOpenAlexFDO

Authors Akihiko Takahashi, K. Takehara, Masashi Toda

Publication date 22 November 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024912500446

zbMATH Keywords

asymptotic expansionMalliavin calculusstochastic volatilityapproximation formula\(\lambda\)-SABR model

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60)

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• scientific article; zbMATH DE number 1517499 (Why is no real title available?)
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• An asymptotic expansion approach to pricing financial contingent claims
• An asymptotic expansion scheme for optimal investment problems
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• Financial modeling in a fast mean-reverting stochastic volatility environment
• On the moments of a multiple wiener-ito integral and the space induced by the polynomials of the integral
• Pricing contingent claims with credit risk: asymptotic expansion approach
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Cited in

(16)

• Effective asymptotics analysis for finance
• An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
• A weak approximation with asymptotic expansion and multidimensional Malliavin weights
• On construction of high precision asymptotic expansions
• Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
• Second order expansion for implied volatility in two factor local stochastic volatility models and applications to the dynamic \(\lambda\)-SABR model
• On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
• Asymptotic expansion approach in finance
• An eigenfunction expansion approach for the derivation of asymptotic expansions in financial valuation problems
• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
• Pricing exotic options and American options: a multidimensional asymptotic expansion approach
• A new computational scheme for computing Greeks by the asymptotic expansion approach
• Note on an extension of an asymptotic expansion scheme
• Asymptotics of implied volatility in local volatility models
• Perturbative expansion technique for non-linear FBSDEs with interacting particle method
• Closed-form expansions of discretely monitored Asian options in diffusion models

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