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Computation in an Asymptotic Expansion Method
16 references·5 citing·34 second hop
Computation in an Asymptotic Expansion Method (2009)Computation in an Asymptotic Expansion Me…Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing (2008)Weak Approximation of Stochas…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic Calculus of Variations in Mathematical Finance (2006)Stochastic Calculus of Variat…Arbitrage Theory in Continuous Time (2004)Arbitrage Theory in Continuou…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Stochastic Analysis (1997)Stochastic AnalysisThe Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)ALTERNATIVE CHARACTERIZATIONS…Malliavin calculus for processes with jumps (1991)Malliavin calculus for proces…A generalized clark representation formula, with application to optimal portfolios (1991)A generalized clark represent…Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels (1987)Analysis of Wiener Functional…Lectures on Stochastic Differential Equations and Malliavin Calculus (1984)Lectures on Stochastic Differ…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Asymptotic Expansion Approach in Finance (2015)Asymptotic Expansion Approach…On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (2014)On Error Estimates for Asympt…Pricing Multi-Asset Cross Currency Options (2012)Pricing Multi-Asset Cross Cur…Pricing barrier and average options in a stochastic volatility environment. (2011)Pricing barrier and average o…Pricing average options on commodities (2010)Pricing average options on co…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option Pricing With V. G. Martingale Components1 (1991)Pricing and Hedging American Options: A Recursive Integration Method (1996)Randomization and the American Put (1998)Brownian Motion and Stochastic Calculus (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)Martingales and stochastic integrals in the theory of continuous trading (1981)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Valuation and hedging of life insurance liabilities with systematic mortality risk (2006)Resource relatedness, redeployability, and firm value (2013)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Stein’s method on Wiener chaos (2008)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1997Stochastic Analysis1,035 cited
  • 2004Arbitrage Theory in Continuous Time940 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 1992ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS478 cited
  • 1991A generalized clark representation formula, with application to optimal portfolios271 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
  • 2008Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing175 cited

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  • 2006Stochastic Calculus of Variations in Mathematical Finance161 cited
  • Cited by

    • 2011Pricing barrier and average options in a stochastic volatility environment.33 cited
    • 2012Pricing Multi-Asset Cross Currency Options31 cited
    • 2010Pricing average options on commodities31 cited
    • 2015Asymptotic Expansion Approach in Finance29 cited
    • 2014On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model29 cited