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An Asymptotic Expansion with Push-Down of Malliavin Weights

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Implied Stochastic Volatility Models

61 cited

2020Closed-form implied volatility surfaces for stochastic volatility models with jumps48 cited

2013Closed-Form Expansion, Conditional Expectation, and Option Valuation44 cited

n.d.A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"41 cited

2019An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions32 cited

2015Asymptotic Expansion Approach in Finance29 cited

2014On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model29 cited

2011Pricing Discrete Barrier Options Under Stochastic Volatility28 cited