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 partially elliptic...

The paper shows a new weak approximation method for stochastic differential equations as a generalization and an extension of Heath-Platen's scheme for multidimensional diffusion processes. We reformulate the Heath-Platen estimator from the viewpoint of asymptotic expansion. The proposed scheme...