On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Year of publication: |
2015
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Authors: | Takahashi, Akihiko ; Yamada, Toshihiro |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 40.2015, 3, p. 513-541
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Subject: | asymptotic expansion | Malliavin calculus | Kusuoka-Stroock functions | stochastic volatility model | option price | Greeks | Experiment | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory |
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