Asymptotic expansion for some local volatility models arising in finance

Sergio Albeverio, Francesco Cordoni, Luca Di Persio, Gregorio Pellegrini

Year of publication:	2019
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
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

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1007/s10203-019-00247-w [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012127266