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An Asymptotic Expansion Approach in Finance

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  • Akihiko Takahashi

    (Faculty of Economics, University of Tokyo)

Abstract

This paper reviews an asymptotic expansion approach to numerical problems for pricing financial assets and securities.

Suggested Citation

  • Akihiko Takahashi, 2007. "An Asymptotic Expansion Approach in Finance," CIRJE F-Series CIRJE-F-509, CIRJE, Faculty of Economics, University of Tokyo.
    • Handle: RePEc:tky:fseres:2007cf509
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    File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2007/2007cf509.pdf
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    Cited by:

    1. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
    2. Masahiro Nishiba, 2013. "Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 147-182, May.

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