An Asymptotic Expansion with Push-Down of Malliavin Weights
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- Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, June.
- Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi, 1999. "Applications of Malliavin calculus to Monte Carlo methods in finance," Finance and Stochastics, Springer, vol. 3(4), pages 391-412.
- Akihiko Takahashi & Nakahiro Yoshida, 2004. "An Asymptotic Expansion Scheme for Optimal Investment Problems," Statistical Inference for Stochastic Processes, Springer, vol. 7(2), pages 153-188, May.
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- Akihiko Takahashi & Toshihiro Yamada, 2009. "An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options," CIRJE F-Series CIRJE-F-696, CIRJE, Faculty of Economics, University of Tokyo.
- Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2010. "On Pricing Barrier Options with Discrete Monitoring," CIRJE F-Series CIRJE-F-725, CIRJE, Faculty of Economics, University of Tokyo.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-10 (All new papers)
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