Asymptotic Expansion Approach in Finance
DOI10.1007/978-3-319-11605-1_13zbMath1418.91541OpenAlexW3040865015MaRDI QIDQ4560338
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/F356.pdf
greeksasymptotic expansionstochastic volatilityMalliavin calculusoption pricingderivativesinterest rateterm structure modelWatanabe theoryhedge
Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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