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Asymptotic Expansion for Small Diffusions Applied to Option Pricing · Study

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ArticleAsymptotic Expansion for Small Diffusions Applied to Option Pricing

Masayuki Uchida2004

Article2004

Asymptotic Expansion for Small Diffusions Applied to Option Pricing

Masayuki Uchida · Nakahiro Yoshida

43 citations·0/0 files stored·Statistical Inference for Stochastic Processes

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1983Stochastic Differential Equations and Diffusion Processes 2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 1990Options, Futures, and Other Derivative Securities.1997Stochastic Analysis 2011Introduction to Stochastic Calculus Applied to Finance 1978Stochastic calculus of variations and hypoelliptic operators 1984Lectures on Stochastic Differential Equations and Malliavin Calculus

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2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noises 2016Least squares estimators for stochastic differential equations driven by small Lévy noises 2009Computation in an Asymptotic Expansion Method 2010Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations

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2004Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabearticle · 14 shared references 2003Conditional expansions and their applicationsarticle · 12 shared references 2009Computation in an Asymptotic Expansion Methodpreprint · 11 shared references 2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noisesarticle · 8 shared references 2016Least squares estimators for stochastic differential equations driven by small Lévy noisesarticle · 8 shared references 2010Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observationsarticle · 8 shared references

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Year2004

Typearticle

Published2004-10-01

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/b:sisp.0000049093.20850.11

openalex_workW2107053973

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