Closed-Form Expansion, Conditional Expectation, and Option Valuation

DOI10.1287/moor.2013.0613zbMath1297.91146OpenAlexW1987823072MaRDI QIDQ5169711

Chenxu Li

Publication date: 11 July 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2013.0613

zbMATH Keywords

diffusionasymptotic expansionoption pricingconditional expectationiterated stochastic integral

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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