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Asymptotic Expansion Approach in Finance

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  • Akihiko Takahashi

    (The University of Tokyo)

Abstract

This paper provides a survey on an asymptotic expansion approach to valuation and hedging problems in finance. The asymptotic expansion is a widely applicable methodology for analytical approximations of expectations of certain Wiener functionals. Hence not only academic researchers but also practitioners have been applying the scheme to a variety of problems in finance such as pricing and hedging derivatives under high-dimensional stochastic environments. The present note gives an overview of the approach.

Suggested Citation

  • Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
    • Handle: RePEc:cfi:fseres:cf356
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    File URL: https://www.carf.e.u-tokyo.ac.jp/old/pdf/workingpaper/fseries/F356.pdf
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    References listed on IDEAS

    as
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