Closed-form expansion, conditional expectation, and option valuation
DOI10.1287/MOOR.2013.0613zbMATH Open1297.91146OpenAlexW1987823072MaRDI QIDQ5169711FDOQ5169711
Authors: Chen-Xu Li 
Publication date: 11 July 2014
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2013.0613
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Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)
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- A closed-form expansion approach for pricing discretely monitored variance swaps
- Transition density function expansion methods for portfolio optimization
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- Approximate arbitrage-free option pricing under the SABR model
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- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- Explicit form of approximate transition probability density functions of diffusion processes
- On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
- Double-jump diffusion model for VIX: evidence from VVIX
- Asymptotic expansion approach in finance
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
- Pricing and exercising American options: an asymptotic expansion approach
- High order asymptotic expansion for Wiener functionals
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps
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