Funahashi and Kijima (2013) have proposed an approximation method based on the Wiener-Ito chaos expansion for the pricing of European-style contingent claims. In this paper, we extend the method to the multi-asset case with general local volatility structure for the pricing of exotic basket...

Funahashi and Kijima (in press, A chaos expansion approach for the pricing of contingent claims, <italic>Journal of Computational Finance</italic>) have proposed an approximation method based on the Wiener--Ito chaos expansion for the pricing of European-style contingent claims. In this paper, we extend the...

In this paper, we propose an approximation method based on the Wiener-Ito chaos expansion for the pricing of European contingent claims. Our method is applicable to widely used option pricing models such as local volatility models, stochastic volatility models and their combinations. This method...

This paper extends the Wiener-Ito chaos expansion approach proposed by Funahashi and Kijima (2013) to an equity-interest-rate hybrid model for the pricing of European contingent claims with special emphasis on calibration to the option markets. Our model can capture the volatility skew and smile...

This paper proposes a unified approximation method for various options whose payoffs depend on the volume weighted average price (VWAP). Despite their popularity in practice, quite few pricing models have been developed in the literature. Also, in previous works, the underlying asset process has...