Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate

DOI10.1007/978-3-030-87432-2_3zbMath1499.91168OpenAlexW4211069337MaRDI QIDQ2107407

Luca Di Persio, Francesco Giuseppe Cordoni

Publication date: 1 December 2022

Full work available at URL: https://doi.org/10.1007/978-3-030-87432-2_3

zbMATH Keywords

asymptotic expansionsmathematical financejump-diffusion modelsstochastic interest rate modelscorrections for the Black-Scholes type models

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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