On Error Estimates for Asymptotic Expansions with Malliavin Weights -- Application to Stochastic Volatility Model --
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- Takashi Kato & Akihiko Takahashi & Toshihiro Yamada, 2013. "An Asymptotic Expansion Formula for Up-and-Out Barrier Option Price under Stochastic Volatility Model," Papers 1302.3306, arXiv.org.
- Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2012. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CARF F-Series CARF-F-272, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
- Kenichiro Shiraya & Akihiko Takahashi, 2012. "Pricing Multi-Asset Cross Currency Options," CARF F-Series CARF-F-290, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Kenichiro Shiraya & Akihiko Takahashi, 2012. "Pricing Multi-Asset Cross Currency Options," CARF F-Series CARF-F-276, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-07-28 (All new papers)
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