Computation in an Asymptotic Expansion Method
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- Kenichiro Shiraya & Akihiko Takahashi, 2015. "An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models (Forthcoming in Stochastics)," CARF F-Series CARF-F-377, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Kenichiro Shiraya & Akihiko Takahashi, 2015. "An Asymptotic Expansion for Local-Stochastic Volatility with Jump Models," CIRJE F-Series CIRJE-F-998, CIRJE, Faculty of Economics, University of Tokyo.
- repec:wsi:ijtafx:v:16:y:2013:i:05:n:s0219024913500313 is not listed on IDEAS
- Akihiko Takahashi & Toshihiro Yamada, 2015. "A weak approximation with asymptotic expansion and multidimensional Malliavin weights," CARF F-Series CARF-F-358, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2015.
- Fernández, J.L. & Ferreiro, A.M. & García-Rodríguez, J.A. & Leitao, A. & López-Salas, J.G. & Vázquez, C., 2013. "Static and dynamic SABR stochastic volatility models: Calibration and option pricing using GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 55-75.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-06-17 (All new papers)
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