Asymptotic expansion for small diffusions applied to option pricing
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Publication:1771230
DOI10.1023/B:SISP.0000049093.20850.11zbMath1125.62311MaRDI QIDQ1771230
Nakahiro Yoshida, Masayuki Uchida
Publication date: 7 April 2005
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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