An Asymptotic Expansion with Push-Down of Malliavin Weights
نویسندگان
چکیده
منابع مشابه
An Asymptotic Expansion with Push-Down of Malliavin Weights
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well as the density of the underlying asset price in multi-dimensional stochastic volatility models. In particular, the integration-byparts formula in Malliavin calculus and the push-down of Malliavin weights are effectively applied. We provide an expansion formula for generalized Wiener functionals a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1514017