Asymptotic and non asymptotic approximations for option valuation

DOI10.1142/9789814436434_0004zbMath1293.91178OpenAlexW1571766743MaRDI QIDQ2849673

Romain Bompis, Emmanuel Gobet

Publication date: 24 September 2013

Published in: Recent Developments in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789814436434_0004

zbMATH Keywords

asymptotic behaviorapproximation methodsMalliavin calculusimplied volatilitycall optionoption priceslocal volatility modelapproximations third orderextreme strikenormal and log-normal proxynumerical point of viewtheoretical point of view

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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