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A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD · Study

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ArticleA GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD

Akihiko Takahashi2011

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Articlegreen2011

A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD

Akihiko Takahashi · Kohta Takehara · Masashi Toda

41 citations·0/0 files stored·International Journal of Theoretical and Applied Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1983Stochastic Differential Equations and Diffusion Processes 2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 2000Derivatives in Financial Markets with Stochastic Volatility 1987Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels 1983Displaced Diffusion Option Pricing 2010ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS 1999An Asymptotic Expansion Approach to Pricing Financial Contingent Claims

Cited by

n.d.A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"2012Pricing Multi-Asset Cross Currency Options 2015Asymptotic Expansion Approach in Finance 2014On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model 2012Perturbative Expansion Technique for Non-Linear FBSDEs With Interacting Particle Method

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2009Computation in an Asymptotic Expansion Methodpreprint · 12 shared references 2015Asymptotic Expansion Approach in Financechapter · 12 shared references 2011Pricing barrier and average options in a stochastic volatility environment.article · 9 shared references 2012An Asymptotic Expansion with Push-Down of Malliavin Weightsarticle · 8 shared references 2013Closed-Form Expansion, Conditional Expectation, and Option Valuationarticle · 8 shared references 2003Conditional expansions and their applicationsarticle · 8 shared references

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Year2011

Typearticle

Published2011-01-01

VenueInternational Journal of Theoretical and Applied Finance

ISSN-L0219-0249

Languageen

Citations41

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1142/s0219024912500446

openalex_workW2155276947

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