Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
DOI10.1142/S0219024914500101zbMATH Open1290.91163OpenAlexW2069179867MaRDI QIDQ4979883FDOQ4979883
Authors: Emmanuel Gobet, Julien Hok 
Publication date: 19 June 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024914500101
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expansion formulaclosed-form solutionslocal volatility modelbest-of optionshybrid derivativesinflation derivatives
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Asymptotic and non asymptotic approximations for option valuation
- Interest rate models -- theory and practice. With smile, inflation and credit
- An asymptotic expansion with push-down of Malliavin weights
- Time dependent Heston model
- Analytical formulas for a local volatility model with stochastic rates
- Expansion formulas for European options in a local volatility model
- Pricing inflation-indexed derivatives
- Smart expansion and fast calibration for jump diffusions
- Weak approximation of averaged diffusion processes
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