Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Asymptotic Expansion for Small Diffusions Applied to Option Pricing

16 references·4 citing·24 second hop

FromToDepth

this work references cited by second hop

References

1983Stochastic Differential Equations and Diffusion Processes3,836 cited
2006The Malliavin Calculus and Related Topics2,470 cited
1995The Malliavin Calculus and Related Topics1,545 cited
1990Options, Futures, and Other Derivative Securities.1,227 cited
1997Stochastic Analysis1,035 cited
2011Introduction to Stochastic Calculus Applied to Finance639 cited
1978Stochastic calculus of variations and hypoelliptic operators524 cited
1984Lectures on Stochastic Differential Equations and Malliavin Calculus271 cited
1987Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels264 cited
1991Malliavin calculus for processes with jumps263 cited
1978Stochastic calculus of variation and hypoelliptic operators178 cited
1999An Asymptotic Expansion Approach to Pricing Financial Contingent Claims141 cited
2001The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims135 cited
1992Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe123 cited
1990Maximnm contrast estimation for diffusion processes from discrete observations

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

116 cited

2003Small-diffusion asymptotics for discretely sampled stochastic differential equations74 cited

Cited by

2013Least squares estimators for discretely observed stochastic processes driven by small Lévy noises40 cited
2016Least squares estimators for stochastic differential equations driven by small Lévy noises39 cited
2009Computation in an Asymptotic Expansion Method36 cited
2010Parameter estimation for a class of stochastic differential equations driven by small stable noises from discrete observations30 cited