A family of density expansions for Lévy-type processes

DOI10.1214/13-AAP994zbMath1329.60122arXiv1312.7328MaRDI QIDQ2258531

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

Publication date: 26 February 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.7328

zbMATH Keywords

asymptotic expansionslocal volatilitypseudo-differential calculusLévy-type processesdefaultable asset

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Pseudodifferential operators as generalizations of partial differential operators (35S05) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-partial differential equations (35R09)

Related Items (15)

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ Small-time expansions for state-dependent local jump-diffusion models with infinite jump activity ⋮ Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio ⋮ Asymptotics for $$d$$ -Dimensional Lévy-Type Processes ⋮ A Fourier-based Picard-iteration approach for a class of McKean–Vlasov SDEs with Lévy jumps ⋮ Pricing Bermudan options under local Lévy models with default ⋮ Reduction and reconstruction of stochastic differential equations via symmetries ⋮ Intrinsic Taylor formula for Kolmogorov-type homogeneous groups ⋮ Analytical approximation of the transition density in a local volatility model ⋮ MULTI-CURRENCY CREDIT DEFAULT SWAPS ⋮ Efficient Computation of Various Valuation Adjustments Under Local Lévy Models ⋮ Pricing vulnerable claims in a Lévy-driven model ⋮ Pricing approximations and error estimates for local Lévy-type models with default ⋮ Multiscale exponential Lévy-type models ⋮ Analytical Expansions for Parabolic Equations

Uses Software

• Mathematica

Cites Work

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