On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Akihiko Takahashi; Toshihiro Yamada
| Year of publication: |
2015
|
|---|---|
| Authors: | Takahashi, Akihiko ; Yamada, Toshihiro |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 40.2015, 3, p. 513-541
|
| Subject: | asymptotic expansion | Malliavin calculus | Kusuoka-Stroock functions | stochastic volatility model | option price | Greeks | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Schätztheorie | Estimation theory | Finanzmathematik | Mathematical finance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011338705