Kunitomo, Naoto; Takahashi, Akihiko - Center for International Research on the Japanese … - 1998
Kunitomo and Takahashi (1995), and Takahashi (1997) have proposed a new methodology, called Small Disturbance Asymptotics, for the valuation problem of financial contingent claims when the underlying asset prices follow a general class of continuous Ito processes. It can be applicable to a wide...