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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
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    Citations

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    Cited by:

    1. Dan Pirjol & Lingjiong Zhu, 2024. "Short-maturity asymptotics for option prices with interest rates effects," Papers 2402.14161, arXiv.org.
    2. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Analytical expansions for parabolic equations," Papers 1312.3314, arXiv.org, revised Nov 2014.
    3. 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.
    4. 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.
    5. 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.
    6. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
    7. Lingjiong Zhu, 2015. "Options with Extreme Strikes," Risks, MDPI, vol. 3(3), pages 1-16, July.
    8. Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.
    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.

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