Expansions asymptotiques pour équations paraboliques dégénérées

DOI10.1016/j.crma.2014.09.024zbMath1304.35207OpenAlexW3121768220MaRDI QIDQ479939

Andrea Pascucci, Stefano Pagliarani

Publication date: 5 December 2014

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2014.09.024

zbMATH Keywords

analytical expansionsshort-time asymptotic convergence

Mathematics Subject Classification ID

Degenerate parabolic equations (35K65) A priori estimates in context of PDEs (35B45) Asymptotic expansions of solutions to PDEs (35C20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (9)

CDS calibration under an extended JDCEV model ⋮ Intrinsic expansions for averaged diffusion processes ⋮ EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ Analytical Approximations of BSDEs with Nonsmooth Driver ⋮ Intrinsic Taylor formula for Kolmogorov-type homogeneous groups ⋮ Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Sovereign CDS Calibration Under a Hybrid Sovereign Risk Model ⋮ PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model

Cites Work

• Analytical approximation of the transition density in a local volatility model
• A jump to default extended CEV model: an application of Bessel processes
• Pricing options under stochastic volatility: a power series approach
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Estimates near the boundary for solutions of second order parabolic equations
• Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
• Adjoint Expansions in Local Lévy Models
• Time Dependent Heston Model
• EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
• Singular Perturbations in Option Pricing
• Equivalent Black volatilities
• The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
• Approximate solutions to second order parabolic equations. I: Analytic estimates
• Analytical Expansions for Parabolic Equations
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Bounds for the fundamental solution of a parabolic equation

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