An asymptotic expansion with push-down of Malliavin weights

DOI10.1137/100807624zbMATH Open1257.91052OpenAlexW1529305232MaRDI QIDQ4902206FDOQ4902206

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

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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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