Pages that link to "Item:Q5169711"
From MaRDI portal
The following pages link to Closed-Form Expansion, Conditional Expectation, and Option Valuation (Q5169711):
Displaying 15 items.
- Explicit form of approximate transition probability density functions of diffusion processes (Q494367) (← links)
- An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach (Q1627727) (← links)
- Approximate arbitrage-free option pricing under the SABR model (Q1655765) (← links)
- A closed-form expansion approach for pricing discretely monitored variance swaps (Q1785402) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
- Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
- Asymptotic expansion and estimates of Wiener functionals (Q2685905) (← links)
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
- Double-jump diffusion model for VIX: evidence from VVIX (Q4555075) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)
- High order asymptotic expansion for Wiener functionals (Q6048984) (← links)
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (Q6106934) (← links)
- Transition density function expansion methods for portfolio optimization (Q6585828) (← links)
