An asymptotic expansion for a Black--Scholes type model

DOI10.1016/J.BULSCI.2004.02.008MaRDI QIDQ707247zbMATH OpenOpenAlexFDO

Authors Eva Lütkebohmert

Publication date 9 February 2005

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.bulsci.2004.02.008

zbMATH Keywords

asymptotic expansionMalliavin calculusperturbation theoryBlack-Scholes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites work

• scientific article; zbMATH DE number 3812664 (Why is no real title available?)
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• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Option pricing when underlying stock returns are discontinuous
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Cited in

(14)

• Asymptotic expansions for SDE's with small multiplicative noise
• An eigenfunction expansion approach for the derivation of asymptotic expansions in financial valuation problems
• Asymptotic expansion method for local volatility models
• Asymptotic expansion approach in finance
• The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\)
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• Asymptotic expansion for some local volatility models arising in finance
• Higher order asymptotic option valuation for non-Gaussian dependent returns
• On expansions for the Black-Scholes prices and hedge parameters
• CCF approach for asymptotic option pricing under the CEV diffusion
• Asymptotic analysis of delta for European put and call options
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
• Asymptotic analysis of European and American options with jumps in the underlying
• Asymptotic solutions for Australian options with low volatility

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