New Approximations in Local Volatility Models

DOI10.1007/978-3-319-02069-3_14zbMath1418.91598OpenAlexW1849257293MaRDI QIDQ4561938

Abbas Suleiman, Emmanuel Gobet

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02069-3_14

zbMATH Keywords

Malliavin calculusoption pricingstochastic expansionlocal volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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