A general computation scheme for a high-order asymptotic expansion method
Akihiko Takahashi, Kohta Takehara and Masashi Toda
| Year of publication: |
2012
|
|---|---|
| Authors: | Takahashi, Akihiko ; Takehara, Kohta ; Toda, Masashi |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 6, p. 1-25
|
| Subject: | Asymptotic expansion | Malliavin calculus | approximation formula | stochastic volatility | λ-SABR model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Volatilität | Volatility | Finanzmathematik | Mathematical finance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009672591