Pages that link to "Item:Q2707166"

The following pages link to The asymptotic expansion approach to the valuation of interest rate contingent claims (Q2707166):

Displaying 50 items.

• On drift parameter estimation for mean-reversion type stochastic differential equations with discrete observations (Q307401) (← links)
• Pricing exotic options and American options: a multidimensional asymptotic expansion approach (Q356757) (← links)
• Maximum-likelihood estimation for diffusion processes via closed-form density expansions (Q366977) (← links)
• Least squares estimators for discretely observed stochastic processes driven by small Lévy noises (Q391568) (← links)
• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066) (← links)
• Least squares estimators for stochastic differential equations driven by small Lévy noises (Q529425) (← links)
• Coefficients of asymptotic expansions of SDE with jumps (Q607565) (← links)
• An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts (Q659261) (← links)
• Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method (Q661267) (← links)
• Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises (Q731952) (← links)
• Valuation of contingent claims with mortality and interest rate risks (Q732668) (← links)
• Pricing derivatives using the asymptotic expansion approach: credit migration models with stochastic credit spreads (Q763417) (← links)
• A new computational scheme for computing Greeks by the asymptotic expansion approach (Q853863) (← links)
• Approximate martingale estimating functions for stochastic differential equations with small noises (Q947158) (← links)
• Valuation of cash flows under random rates of interest: a linear algebraic approach (Q997086) (← links)
• An asymptotic expansion approach to pricing financial contingent claims (Q1000476) (← links)
• An evaluation of contingent claims using the CKLS interest rate model: An analysis of Australia, Japan, and the United Kingdom (Q1000486) (← links)
• On validity of the asymptotic expansion approach in contingent claim analysis (Q1425481) (← links)
• An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Q1627727) (← links)
• Statistical inference for stochastic differential equations with small noises (Q1724191) (← links)
• Minimum distance parameter estimation for SDEs with small \(\alpha\)-stable noises (Q1726804) (← links)
• On penalized estimation for dynamical systems with small noise (Q1753155) (← links)
• Asymptotic expansion of a nonlinear oscillator with a jump-diffusion process (Q1756743) (← links)
• Hybrid estimators for small diffusion processes based on reduced data (Q1785794) (← links)
• Trajectory fitting estimation for a class of SDEs with small Lévy noises (Q2083427) (← links)
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver (Q2133701) (← links)
• Least squares estimation for discretely observed stochastic Lotka-Volterra model driven by small \(\alpha \)-stable noises (Q2213423) (← links)
• Pricing variance swaps under hybrid CEV and stochastic volatility (Q2222171) (← links)
• A path-independent approach to integrated variance under the CEV model (Q2228592) (← links)
• Least squares estimation for path-distribution dependent stochastic differential equations (Q2245071) (← links)
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
• Asymptotic expansion for term structures of defaultable bonds with non-Gaussian dependent innovations (Q2254285) (← links)
• A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion (Q2335720) (← links)
• Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
• Weak approximation of averaged diffusion processes (Q2434489) (← links)
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737) (← links)
• Conditional expansions and their applications. (Q2574589) (← links)
• Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
• Asymptotic expansion and estimates of Wiener functionals (Q2685905) (← links)
• Note on an extension of an asymptotic expansion scheme (Q2853382) (← links)
• A low-bias simulation scheme for the SABR stochastic volatility model (Q2882692) (← links)
• Composition with distributions of Wiener-Poisson variables and its asymptotic expansion (Q2883883) (← links)
• Analytical formulas for a local volatility model with stochastic rates (Q2893202) (← links)
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS (Q3067160) (← links)
• ANALYTICAL APPROXIMATION TO CONSTANT MATURITY SWAP CONVEXITY CORRECTIONS IN A MULTI-FACTOR SABR MODEL (Q3067762) (← links)
• A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus (Q3194571) (← links)
• On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS (Q3520539) (← links)
• Local Vega Index and Variance Reduction Methods (Q4409039) (← links)