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Computation in an Asymptotic Expansion Method · Study

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PreprintComputation in an Asymptotic Expansion Method

Akihiko Takahashi2009

OA

Preprintgreen2009

Computation in an Asymptotic Expansion Method

Akihiko Takahashi · Kohta Takehara · Masashi Toda

36 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Fuzzy Systems and Optimization

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References

1976Option pricing when underlying stock returns are discontinuous 1983Stochastic Differential Equations and Diffusion Processes 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 2006The Malliavin Calculus and Related Topics 1998Methods of Mathematical Finance 1995The Malliavin Calculus and Related Topics 1997Stochastic Analysis 2004Arbitrage Theory in Continuous Time

Cited by

2011Pricing barrier and average options in a stochastic volatility environment.2012Pricing Multi-Asset Cross Currency Options 2010Pricing average options on commodities 2015Asymptotic Expansion Approach in Finance 2014On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model

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2015Asymptotic Expansion Approach in Financechapter · 19 shared references 2003Conditional expansions and their applicationsarticle · 13 shared references 2011A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHODarticle · 12 shared references 2004Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problemsother · 12 shared references 2004Asymptotic Expansion for Small Diffusions Applied to Option Pricingarticle · 11 shared references 2011Pricing barrier and average options in a stochastic volatility environment.article · 11 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1413924

openalex_workW2139245351

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