Analytical Approximation of the Transition Density in a Local Volatility Model

We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps

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Year of publication:	2016
Authors:	Pascucci, Andrea
Other Persons:	Pagliarani, Stefano (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Statistische Verteilung \| Statistical distribution \| Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (27 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Pagliarani, S. & Pascucci, A. centr.eur.j.math. (2012) 10: 250. doi:10.2478/s11533-011-0115-y Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 4, 2011 erstellt
Other identifiers:	10.2139/ssrn.1856043 [DOI]
Classification:	G00 - Financial Economics. General ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013008613