Takahashi, Akihiko; Takehara, Kohta; Toda, Masashi - 2011
An asymptotic expansion scheme in finance initiated by Kunitomo and Takahashi [15] and Yoshida [68] is a widely applicable methodology for analytic approximation of the expectation of a certain functional of diffusion processes. [46], [47] and [53] provide explicit formulas of conditional...