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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion

Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023

Persistent link: https://www.econbiz.de/10014383870

Pricing discrete barrier options under stochastic volatility

Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 19 (2012) 3, pp. 205-232

Persistent link: https://www.econbiz.de/10009660697

A remark on approximation of the solutions to partial differential equations in finance

Takahashi, Akihiko; Yamada, Toshihiro - In: Recent advances in financial engineering 2011: …, (pp. 133-181). 2012

Persistent link: https://www.econbiz.de/10009573432

On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model

Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541

Persistent link: https://www.econbiz.de/10011338705

An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach

Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373

Persistent link: https://www.econbiz.de/10011619975

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

Takahashi, Akihiko - 2014

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...

Persistent link: https://www.econbiz.de/10013063101