Asymptotic expansion for some local volatility models arising in finance
Sergio Albeverio, Francesco Cordoni, Luca Di Persio, Gregorio Pellegrini
| Year of publication: |
2019
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|---|---|
| Authors: | Albeverio, Sergio ; Cordoni, Francesco ; Di Persio, Luca ; Pellegrini, Gregorio |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 527-573
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| Subject: | Local volatility models | Small noise asymptotic expansions | Correctionsto the Black-Scholes type models | Jump-diffusion models | Polynomial drift | Exponential drift | Polynomial Chaos Expansion method | Monte Carlo techniques | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Black-Scholes-Modell | Black-Scholes model | Monte-Carlo-Simulation | Monte Carlo simulation | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |