This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a general partially elliptic diffusion and a more general Wiener functional, which is applicable to various important ...

An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model

Kato, Takashi, (2012)

An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach

Takahashi, Akihiko, (2012)

On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-

Takahashi, Akihiko, (2013)