Pricing exotic options and American options: a multidimensional asymptotic expansion approach

DOI10.1007/s10690-012-9163-yzbMath1283.91195OpenAlexW2090581058MaRDI QIDQ356757

Masahiro Nishiba

Publication date: 26 July 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-012-9163-y

zbMATH Keywords

simulationasymptotic expansionMonte CarloAmerican optionsHeston modelCEV modelaverage strike option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Ordinary differential equations and systems with randomness (34F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Multidimensional problems (41A63) Asymptotic expansions of solutions to ordinary differential equations (34E05)

Related Items (1)

Asymptotic Expansion Approach in Finance

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