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Search: subject:"Asymptotic expansions"
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Asymptotic expansions
17
Option pricing theory
7
Optionspreistheorie
7
Volatility
7
Volatilität
7
asymptotic expansions
7
Estimation theory
6
Schätztheorie
6
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6
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6
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4
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4
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3
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3
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
asymptotic normality
2
matched asymptotic expansions
2
optimal exercise price
2
singular perturbation
2
the Heston model
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AMS 1991 subject classification: 93E20
1
ARX-model
1
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Asymptotic expansions Bias-variance tradeoff
1
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19
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Albeverio, Sergio
3
Chen, Wenting
2
Muhle-Karbe, Johannes
2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility
Chen, Wenting
;
Zhu, Song-Ping
- In:
Journal of Risk and Financial Management
15
(
2022
)
5
,
pp. 1-19
volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched
asymptotic
expansions
…
Persistent link: https://www.econbiz.de/10014332390
Saved in:
2
On the asymptotic behavior of the optimal exercise price near expiry of an American put option under stochastic volatility
Chen, Wenting
;
Zhu, Song-Ping
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
5
,
pp. 1-19
volatility model, such as the Heston model, has not been reported at all. Adopting the method of matched
asymptotic
expansions
…
Persistent link: https://www.econbiz.de/10013273116
Saved in:
3
A simulation-based method for estimating systemic risk measures
Ye, Wuyi
;
Zhou, Yi
;
Chen, Pengzhan
;
Wu, Bin
- In:
European journal of operational research : EJOR
313
(
2024
)
1
,
pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
Saved in:
4
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
5
Subleading correction to the Asian options volatility in the black-scholes model
Pirjol, Dan
- In:
International journal of theoretical and applied …
26
(
2023
)
2/3
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014365668
Saved in:
6
Proof of non-convergence of the short-maturity expansion for the SABR model
Lewis, Alan L.
;
Pirjol, Dan
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1747-1757
Persistent link: https://www.econbiz.de/10013367944
Saved in:
7
Optimization of inventory management logistic model of the machine-building enterprises
Holovan, Olha
;
Oliynyk, Oleksandr
;
Makazan, Yevheniia
- In:
EconWorld working paper series
1
(
2017
)
10
,
pp. 82-96
Persistent link: https://www.econbiz.de/10011797630
Saved in:
8
Asymptotic expansion for some local volatility models arising in finance
Albeverio, Sergio
;
Cordoni, Francesco
;
Di Persio, Luca
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 527-573
Persistent link: https://www.econbiz.de/10012127266
Saved in:
9
Pricing average and spread options under local-stochastic volatility jump-diffusion models
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
Mathematics of operations research
44
(
2019
)
1
,
pp. 303-333
Persistent link: https://www.econbiz.de/10012001122
Saved in:
10
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, Archil
;
Horvath, Blanka Nora
;
Jacquier, …
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1753-1765
Persistent link: https://www.econbiz.de/10012261909
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