An asymptotic expansion for a Black--Scholes type model
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Publication:707247
DOI10.1016/J.BULSCI.2004.02.008zbMATH Open1103.91039OpenAlexW2048627283MaRDI QIDQ707247FDOQ707247
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
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Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
Cites Work
- The pricing of options and corporate liabilities
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- Option pricing when underlying stock returns are discontinuous
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- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
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- Stochastic volatility, smile & asymptotics
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Cited In (14)
- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
- Asymptotic expansion for some local volatility models arising in finance
- On expansions for the Black-Scholes prices and hedge parameters
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
- Asymptotic analysis of European and American options with jumps in the underlying
- Higher order asymptotic option valuation for non-Gaussian dependent returns
- CCF approach for asymptotic option pricing under the CEV diffusion
- Asymptotic solutions for Australian options with low volatility
- Asymptotic expansion approach in finance
- An eigenfunction expansion approach for the derivation of asymptotic expansions in financial valuation problems
- Asymptotic analysis of delta for European put and call options
- Asymptotic expansions for SDE's with small multiplicative noise
- Asymptotic expansion method for local volatility models
- The asymptotic behavior of the solutions of the Black-Scholes equation as volatility \(\sigma\rightarrow 0^+\)
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