A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD
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Publication:4649507
DOI10.1142/S0219024912500446zbMath1262.91072OpenAlexW2155276947MaRDI QIDQ4649507
Masashi Toda, Kohta 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
asymptotic expansionstochastic volatilityMalliavin calculusapproximation formula\(\lambda\)-SABR model
Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)
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