An asymptotic expansion with push-down of Malliavin weights

DOI10.1137/100807624MaRDI QIDQ4902206zbMATH OpenOpenAlexFDO

Authors Akihiko Takahashi, Toshihiro Yamada

Publication date 25 January 2013

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/d5a6470d7fb46270c17ac1f8bd885a28c0c53067

zbMATH Keywords

asymptotic expansionMalliavin calculusstochastic volatilityimplied volatilityjump-diffusion modelintegration-by-partsMalliavin weightMalliavin calculus for Poisson processespush-downshifted log-normal model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60)

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