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

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A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Revised version of CARF-F-335; Forthcoming in Annals of Applied Probability")"

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2012Pricing Multi-Asset Cross Currency Options31 cited

2015Asymptotic Expansion Approach in Finance29 cited

2014On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model29 cited

2012Perturbative Expansion Technique for Non-Linear FBSDEs With Interacting Particle Method22 cited