An asymptotic expansion for a Black--Scholes type model

DOI10.1016/j.bulsci.2004.02.008zbMath1103.91039OpenAlexW2048627283MaRDI QIDQ707247

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

perturbation theoryasymptotic expansionMalliavin calculusBlack-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

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