volatility; the term-structure of interest rates, closed-form approximations. JEL-Classification: G12, G13. We wish to thank …- factor di�usion settings. We develop closed-form approximations to any given contingent claim model, which are easy to … closed form approximations for derivatives of the pricing function, w(x;t). If the asset we are concerned with is a European …

(closed form) approximations including error bounds to a class of nonlinear problems. The algorithmic scheme is also well …