Analytical approximation of the transition density in a local volatility model

We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.

MoreLess

Year of publication:	2011-05-04
Authors:	Pagliarani, Stefano ; Pascucci, Andrea

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Pagliarani, Stefano and Pascucci, Andrea (2011): Analytical approximation of the transition density in a local volatility model.
Classification:	G12 - Asset Pricing
Source:	BASE

Persistent link: https://www.econbiz.de/10015227003