EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE

DOI10.1142/S0219024920500132zbMath1443.91290OpenAlexW2744735722MaRDI QIDQ5114683

Joris van der Hoeven, Cyril Grunspan

Publication date: 25 June 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500132

zbMATH Keywords

algorithmasymptotic expansionpricingHardy fieldsexp-log function

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate

Uses Software

• Mathemagix

Cites Work

• Asymptotics of implied volatility to arbitrary order
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• HOW CLOSE ARE THE OPTION PRICING FORMULAS OF BACHELIER AND BLACK-MERTON-SCHOLES?
• Shapes of Implied Volatility with Positive Mass at Zero
• Asymptotics and calibration of local volatility models
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
• Smile Asymptotics II: Models with Known Moment Generating Functions
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