Article2010

Parametrix Approximation of Diffusion Transition Densities

Francesco Corielli · Paolo Foschi · Andrea Pascucci

48 citations0/0 files storedSIAM Journal on Financial Mathematics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Differential Equations and Boundary Problems Fuzzy Systems and Optimization

Abstract

A new analytical approximation tool, derived from the classical PDE theory, is introduced in order to build approximate transition densities of diffusions. The tool is useful for approximate pricing and hedging of financial derivatives and for maximum likelihood and method of moments estimates of diffusion parameters. The approximation is uniform with respect to time and space variables. Moreover, easily computable error bounds are available in any dimension.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 48 citations exist upstream.

References

1976The valuation of options for alternative stochastic processes 1987Efficient Analytic Approximation of American Option Values 2000Derivatives in Financial Markets with Stochastic Volatility 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 1991A Quick Algorithm for Pricing European Average Options 1997A Continuity Correction for Discrete Barrier Options 1989Computing the Constant Elasticity of Variance Option Pricing Formula 1998Complete Models with Stochastic Volatility

Cited by

2014A probabilistic interpretation of the parametrix method ∗2013Adjoint Expansions in Local Lévy Models 2012Approximations for Asian options in local volatility models 2015A probabilistic interpretation of the parametrix method 2011Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing 2022Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.