An Asymptotic Expansion with Push-Down of Malliavin Weights
type: Item
instance of: scholarly article
title: An Asymptotic Expansion with Push-Down of Malliavin Weights
zbMATH Open document ID: 1257.91052
DOI: 10.1137/100807624
author: Akihiko Takahashi
author: Toshihiro Yamada
published in: SIAM Journal on Financial Mathematics
publication date: 2013-01-25T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 6130638
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: asymptotic expansion
zbMATH Keywords: stochastic volatility
zbMATH Keywords: implied volatility
zbMATH Keywords: shifted log-normal model
zbMATH Keywords: jump-diffusion model
zbMATH Keywords: integration-by-parts
zbMATH Keywords: Malliavin weight
zbMATH Keywords: push-down
zbMATH Keywords: Malliavin calculus for Poisson processes
MaRDI profile type: Publication
OpenAlex ID: W1529305232
description: scientific article; zbMATH DE number 6130638