Weak approximation of averaged diffusion processes

DOI10.1016/J.SPA.2013.08.007MaRDI QIDQ2434489zbMATH OpenOpenAlexFDO

Authors Emmanuel Gobet, Mohammed Miri

Publication date 6 February 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2013.08.007

zbMATH Keywords

asymptotic expansionMalliavin calculusarithmetic and geometric meanssmall diffusion process

Mathematics Subject Classification ID

Diffusion processes (60J60)

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• Approximations for Asian options in local volatility models
• Asymptotic and non asymptotic approximations for option valuation
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Expansion formulas for European options in a local volatility model
• On irregular functionals of SDEs and the Euler scheme
• Smart expansion and fast calibration for jump diffusions
• Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
• The Malliavin Calculus and Related Topics
• The asymptotic expansion approach to the valuation of interest rate contingent claims
• The value of an Asian option
• Time dependent Heston model

Cited in

(18)

• Pricing vulnerable claims in a Lévy-driven model
• Analytical Approximations of BSDEs with Nonsmooth Driver
• Intrinsic expansions for averaged diffusion processes
• Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
• Weak approximations and VIX option price expansions in forward variance curve models
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
• scientific article; zbMATH DE number 5049841 (Why is no real title available?)
• Intrinsic Taylor formula for Kolmogorov-type homogeneous groups
• Short Maturity Asian Options in Local Volatility Models
• Geometric Asian option pricing in general affine stochastic volatility models with jumps
• Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
• Expansion formulas for European quanto options in a local volatility FX-LIBOR model
• scientific article; zbMATH DE number 4038966 (Why is no real title available?)
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
• Stochastic approximation finite element method: analytical formulas for multidimensional diffusion process
• Closed-form expansions of discretely monitored Asian options in diffusion models

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