IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-01284880.html
   My bibliography  Save this paper

Closed-form asymptotics and numerical approximations of 1{D} parabolic equations with applications to option pricing

Author

Listed:
  • Victor Nistor

    (LMAM - Laboratoire de Mathématiques et Applications de Metz - UPVM - Université Paul Verlaine - Metz - CNRS - Centre National de la Recherche Scientifique)

  • Wen Cheng
  • Nick Costanzino
  • John Liechty
  • Anna L. Mazzucato

    (Penn State - Pennsylvania State University - Penn State System)

Abstract

No abstract is available for this item.

Suggested Citation

  • Victor Nistor & Wen Cheng & Nick Costanzino & John Liechty & Anna L. Mazzucato, 2011. "Closed-form asymptotics and numerical approximations of 1{D} parabolic equations with applications to option pricing," Post-Print hal-01284880, HAL.
    • Handle: RePEc:hal:journl:hal-01284880
    DOI: 10.1137/100796832
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
    2. Lingjiong Zhu, 2015. "Options with Extreme Strikes," Risks, MDPI, vol. 3(3), pages 1-16, July.
    3. Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.
    4. Dan Pirjol & Lingjiong Zhu, 2024. "Short-maturity asymptotics for option prices with interest rates effects," Papers 2402.14161, arXiv.org.
    5. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Analytical expansions for parabolic equations," Papers 1312.3314, arXiv.org, revised Nov 2014.
    6. Olesya Grishchenko & Xiao Han & Victor Nistor, 2018. "A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model," Papers 1812.09904, arXiv.org.
    7. Siyan Zhang & Anna L. Mazzucato & Victor Nistor, 2016. "Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model," Papers 1605.03097, arXiv.org.
    8. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
    9. Humayra Shoshi & Indranil SenGupta, 2023. "Some asymptotics for short maturity Asian options," Papers 2302.05421, arXiv.org, revised Sep 2024.
    10. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
    11. Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga, 2011. "Expansion formulae for local Lévy models," MPRA Paper 34571, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-01284880. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.