Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing
From MaRDI portal
Publication:5388689
DOI10.1137/100796832zbMath1242.35131arXiv0910.2309OpenAlexW2059676916MaRDI QIDQ5388689
Wen Cheng, Anna L. Mazzucato, Nick Costanzino, Victor Nistor, John C. Liechty
Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0910.2309
Numerical methods (including Monte Carlo methods) (91G60) Fundamental solutions to PDEs (35A08) Degenerate parabolic equations (35K65) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Solutions to PDEs in closed form (35C05) Second-order parabolic equations (35K10) Heat kernel (35K08) Fokker-Planck equations (35Q84)
Related Items
SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ Implied Volatility from Local Volatility: A Path Integral Approach ⋮ Short maturity conditional Asian options in local volatility models ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ Approximate solutions to second-order parabolic equations: evolution systems and discretization ⋮ SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS ⋮ Analytical approximation of the transition density in a local volatility model ⋮ THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ A semigroup approach to generalized Black-Scholes type equations in incomplete markets ⋮ Approximate solutions to second order parabolic equations. I: Analytic estimates ⋮ Analytical Expansions for Parabolic Equations
