Asymptotic expansion for some local volatility models arising in finance
DOI10.1007/s10203-019-00247-wzbMath1432.91107arXiv1809.06596OpenAlexW2891201339WikidataQ127944260 ScholiaQ127944260MaRDI QIDQ2292052
Francesco Giuseppe Cordoni, Gregorio Pellegrini, Luca Di Persio, Sergio A. Albeverio
Publication date: 31 January 2020
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.06596
jump-diffusion modelspolynomial chaos expansion methodMonte Carlo techniqueslocal volatility modelspolynomial driftexponential driftcorrections to the Black-Scholes type modelssmall noise asymptotic expansions
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Financial markets (91G15)
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Cites Work
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