Coefficients of asymptotic expansions of SDE with jumps

DOI10.1007/s10690-009-9107-3zbMath1201.91196OpenAlexW2163326544MaRDI QIDQ607565

Masafumi Hayashi

Publication date: 22 November 2010

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-009-9107-3

zbMATH Keywords

asymptotic expansionMalliavin calculusoption pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (2)

Composition with distributions of Wiener-Poisson variables and its asymptotic expansion ⋮ Asymptotic Expansion Approach in Finance

Cites Work

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• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Conditional expansions and their applications.
• Malliavin Monte Carlo Greeks for jump diffusions
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• Option pricing when underlying stock returns are discontinuous

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