Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
type: Item
instance of: scholarly article
title: Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
zbMATH Open document ID: 1499.91168
DOI: 10.1007/978-3-030-87432-2_3
author: Francesco Cordoni
author: Luca Di Persio
publication date: 2022-12-01T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60H15
Mathematics Subject Classification ID: 62H30
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7625831
zbMATH Keywords: mathematical finance
zbMATH Keywords: asymptotic expansions
zbMATH Keywords: stochastic interest rate models
zbMATH Keywords: corrections for the Black-Scholes type models
zbMATH Keywords: jump-diffusion models
MaRDI profile type: Publication
full work available at URL: 978-3-030-87432-2 3
OpenAlex ID: W4211069337
cites work: Asymptotic expansion for some local volatility models arising in finance
cites work: Small noise asymptotic expansions for stochastic PDE's. I: The case of a dissipative polynomially bounded non linearity
cites work: A class of Lévy driven SDEs and their explicit invariant measures
cites work: Invariant measures for SDEs driven by Lévy noise: a case study for dissipative nonlinear drift in infinite dimension
cites work: Uniform asymptotic bounds for the heat kernel and the trace of a stochastic geodesic flow
cites work: Asymptotic expansions for SDE's with small multiplicative noise
cites work: Asymptotics of Gaussian integrals in infinite dimensions
cites work: A Model with Interacting Assets Driven by Poisson Processes
cites work: Lévy Processes and Stochastic Calculus
cites work: Q4404205
cites work: Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
cites work: The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework
cites work: Asymptotics beats Monte Carlo: the case of correlated local vol baskets
cites work: Smart expansion and fast calibration for jump diffusions
cites work: The pricing of options and corporate liabilities
cites work: Polynomial chaos expansion approach to interest rate models
cites work: Asymptotic approximations for probability integrals
cites work: Interest rate models -- theory and practice. With smile, inflation and credit
cites work: A theory of the term structure of interest rates
cites work: CDS calibration under an extended JDCEV model
cites work: Q4509488
cites work: Large deviations and asymptotic methods in finance
cites work: Handbook of stochastic methods for physics, chemistry and the natural sciences.
cites work: ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
cites work: Q5653395
cites work: A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL
cites work: EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE
cites work: Analytically tractable stochastic stock price models.
cites work: First exit times for Lévy-driven diffusions with exponentially light jumps
cites work: Pricing options under stochastic interest rates: a new approach
cites work: Asymptotic Approximation of Optimal Portfolio for Small Time Horizons
cites work: On validity of the asymptotic expansion approach in contingent claim analysis
cites work: The asymptotic expansion approach to the valuation of interest rate contingent claims
cites work: Malliavin calculus, geometric mixing, and expansion of diffusion functionals
cites work: An asymptotic expansion for a Black--Scholes type model
cites work: Stochastic Integration in Banach Spaces
cites work: Adjoint expansions in local Lévy models
cites work: An asymptotic expansion for local-stochastic volatility with jump models
cites work: Stochastic calculus for finance. II: Continuous-time models.
cites work: An asymptotic expansion approach to pricing financial contingent claims
cites work: Asymptotic expansion for small diffusions applied to option pricing
cites work: Conditional expansions and their applications.
cites work: American option pricing under the double Heston model based on asymptotic expansion
cites work: Asymptotic expansion method for pricing and hedging American options with two-factor stochastic volatilities and stochastic interest rate
description: scientific article; zbMATH DE number 7625831