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Asymptotic expansion
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1
Asymptotic expansion formula of option price under multifactor Heston model
Nagashima, Kazuki
;
Chung, Tsz-Kin
;
Tanaka, Keiichi
- In:
Asia-Pacific financial markets
21
(
2014
)
4
,
pp. 351-396
Persistent link: https://www.econbiz.de/10010511560
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2
Note on an extension of an asymptotic expansion scheme
Takahashi, Akihiko
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
16
(
2013
)
5
,
pp. 1-23
Persistent link: https://www.econbiz.de/10009783991
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3
Perturbative expansion technique for non-linear FBSDEs with interacting particle method
Fujii, Masaaki
;
Takahashi, Akihiko
- In:
Asia-Pacific financial markets
22
(
2015
)
3
,
pp. 283-304
Persistent link: https://www.econbiz.de/10011524810
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4
A general computation scheme for a high-order asymptotic expansion method
Takahashi, Akihiko
;
Takehara, Kohta
;
Toda, Masashi
- In:
International journal of theoretical and applied finance
15
(
2012
)
6
,
pp. 1-25
Persistent link: https://www.econbiz.de/10009672591
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5
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko
;
Tsuchida, Yoshifumi
;
Yamada, Toshihiro
-
2021
-
This version : August 10, 2021
Persistent link: https://www.econbiz.de/10012616192
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6
A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko
;
Tsuchida, Yoshifumi
;
Yamada, Toshihiro
-
2021
Persistent link: https://www.econbiz.de/10012813680
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7
Pricing and exercising American options : an asymptotic expansion approach
Li, Chenxu
;
Ye, Yongxin
- In:
Journal of economic dynamics & control
107
(
2019
),
pp. 1-32
Persistent link: https://www.econbiz.de/10012312643
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8
A general control variate method for multi-dimensional SDEs : an application to multi-asset options under local stochastic volatility with jumps models in finance
Shiraya, Kenichiro
;
Takahashi, Akihiko
- In:
European journal of operational research : EJOR
258
(
2017
)
1
,
pp. 358-371
Persistent link: https://www.econbiz.de/10011642221
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9
American option pricing under the double Heston model based on asymptotic expansion
Zhang, S. M.
;
Feng, Y.
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 211-226
Persistent link: https://www.econbiz.de/10012194649
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10
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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