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Coefficients of Asymptotic Expansions of SDE with Jumps

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  • Masafumi Hayashi

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  • Masafumi Hayashi, 2010. "Coefficients of Asymptotic Expansions of SDE with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(4), pages 373-389, December.
    • Handle: RePEc:kap:apfinm:v:17:y:2010:i:4:p:373-389
    DOI: 10.1007/s10690-009-9107-3
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    References listed on IDEAS

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    1. Youssef El-Khatib & Nicolas Privault, 2004. "Computations of Greeks in a market with jumps via the Malliavin calculus," Finance and Stochastics, Springer, vol. 8(2), pages 161-179, May.
    2. Nualart, David & Schoutens, Wim, 2000. "Chaotic and predictable representations for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 90(1), pages 109-122, November.
    3. Davis, Mark H.A. & Johansson, Martin P., 2006. "Malliavin Monte Carlo Greeks for jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 116(1), pages 101-129, January.
    4. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    5. Ishikawa, Yasushi & Kunita, Hiroshi, 2006. "Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps," Stochastic Processes and their Applications, Elsevier, vol. 116(12), pages 1743-1769, December.
    6. Yoshida, Nakahiro, 2003. "Conditional expansions and their applications," Stochastic Processes and their Applications, Elsevier, vol. 107(1), pages 53-81, September.
    7. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
    8. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
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