scientific article; zbMATH DE number 5587403

zbMATH Open1183.35077MaRDI QIDQ5190935

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Publication date: 27 July 2009

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zbMATH Keywords

explicit asymptotic pricing formulavolatility coefficient in the Black-Scholes models

Mathematics Subject Classification ID

Mathematical economics (91B99) Asymptotic expansions of solutions to PDEs (35C20)

Related Items (5)

Explicit density approximations for local volatility models using heat kernel expansions ⋮ Local Volatility, Conditioned Diffusions, and Varadhan's Formula ⋮ Stochastic local volatility models and the Wei-Norman factorization method ⋮ APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH ⋮ Asymptotic expansion for some local volatility models arising in finance

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