A general computation scheme for a high-order asymptotic expansion method
DOI10.1142/S0219024912500446zbMATH Open1262.91072OpenAlexW2155276947MaRDI QIDQ4649507FDOQ4649507
Masashi Toda, K. Takehara, Akihiko Takahashi
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
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asymptotic expansionMalliavin calculusstochastic volatilityapproximation formula\(\lambda\)-SABR model
Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60)
Cites Work
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- A new computational scheme for computing Greeks by the asymptotic expansion approach
- On the moments of a multiple wiener-ito integral and the space induced by the polynomials of the integral
- FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
- Pricing contingent claims with credit risk: asymptotic expansion approach
- Financial modeling in a fast mean-reverting stochastic volatility environment
Cited In (15)
- Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model
- Asymptotic Expansion Approach in Finance
- An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
- A weak approximation with asymptotic expansion and multidimensional Malliavin weights
- ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
- On construction of high precision asymptotic expansions
- Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads
- Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models
- 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
- Perturbative expansion technique for non-linear FBSDEs with interacting particle method
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model
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