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Asymptotic Expansion for Small Diffusions Applied to Option Pricing

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  • Masayuki Uchida
  • Nakahiro Yoshida

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  • Masayuki Uchida & Nakahiro Yoshida, 2004. "Asymptotic Expansion for Small Diffusions Applied to Option Pricing," Statistical Inference for Stochastic Processes, Springer, vol. 7(3), pages 189-223, October.
    • Handle: RePEc:spr:sistpr:v:7:y:2004:i:3:p:189-223
    DOI: 10.1023/B:SISP.0000049093.20850.11
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    References listed on IDEAS

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    1. Yoshida, Nakahiro, 1996. "Asymptotic Expansions for Perturbed Systems on Wiener Space: Maximum Likelihood Estimators," Journal of Multivariate Analysis, Elsevier, vol. 57(1), pages 1-36, April.
    2. Sakamoto, Yuji & Yoshida, Nakahiro, 1996. "Expansion of Perturbed Random Variables Based on Generalized Wiener Functionals," Journal of Multivariate Analysis, Elsevier, vol. 59(1), pages 34-59, October.
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    Citations

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    Cited by:

    1. Ma, Chunhua & Yang, Xu, 2014. "Small noise fluctuations of the CIR model driven by α-stable noises," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 1-11.
    2. Long, Hongwei & Ma, Chunhua & Shimizu, Yasutaka, 2017. "Least squares estimators for stochastic differential equations driven by small Lévy noises," Stochastic Processes and their Applications, Elsevier, vol. 127(5), pages 1475-1495.
    3. Uchida, Masayuki, 2008. "Approximate martingale estimating functions for stochastic differential equations with small noises," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1706-1721, September.
    4. Gloter, Arnaud & Sørensen, Michael, 2009. "Estimation for stochastic differential equations with a small diffusion coefficient," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 679-699, March.
    5. Chenxu Li, 2014. "Closed-Form Expansion, Conditional Expectation, and Option Valuation," Mathematics of Operations Research, INFORMS, vol. 39(2), pages 487-516, May.
    6. Yoshida, Nakahiro, 2023. "Asymptotic expansion and estimates of Wiener functionals," Stochastic Processes and their Applications, Elsevier, vol. 157(C), pages 176-248.
    7. Tetsuya Kawai & Masayuki Uchida, 2023. "Adaptive inference for small diffusion processes based on sampled data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(6), pages 643-696, August.
    8. Sergio Albeverio & Francesco Cordoni & Luca Persio & Gregorio Pellegrini, 2019. "Asymptotic expansion for some local volatility models arising in finance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 527-573, December.
    9. Ning Cai & Chenxu Li & Chao Shi, 2014. "Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 789-822, August.
    10. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
    11. Shu, Huisheng & Jiang, Ziwei & Zhang, Xuekang, 2023. "Parameter estimation for integrated Ornstein–Uhlenbeck processes with small Lévy noises," Statistics & Probability Letters, Elsevier, vol. 199(C).
    12. Tudor, Ciprian A. & Yoshida, Nakahiro, 2023. "High order asymptotic expansion for Wiener functionals," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 443-492.
    13. Yasutaka Shimizu, 2017. "Threshold Estimation for Stochastic Processes with Small Noise," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 951-988, December.
    14. Thomas Mazzoni, 2018. "Asymptotic Expansion of Risk-Neutral Pricing Density," IJFS, MDPI, vol. 6(1), pages 1-26, March.
    15. Yang, Xu, 2017. "Maximum likelihood type estimation for discretely observed CIR model with small α-stable noises," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 18-27.
    16. Long, Hongwei & Shimizu, Yasutaka & Sun, Wei, 2013. "Least squares estimators for discretely observed stochastic processes driven by small Lévy noises," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 422-439.
    17. Long, Hongwei, 2009. "Least squares estimator for discretely observed Ornstein-Uhlenbeck processes with small Lévy noises," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2076-2085, October.
    18. Albeverio, Sergio & Smii, Boubaker, 2015. "Asymptotic expansions for SDE’s with small multiplicative noise," Stochastic Processes and their Applications, Elsevier, vol. 125(3), pages 1009-1031.

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