University of Tokyo
Mitsubishi UFJ Trust Investment Technology Institute(MTEC)
抄録
This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a partially elliptic diffusion under a multidimensional setting, which includes various important models in finance as the special cases. In particular, we take the Malliavin calculus approach, and estimate the error bounds for the Malliavin weights of both the coefficient and the residual terms in the expansions by effectively applying the properties of Kusuoka-Stroock functions.
内容記述
本文フィルはリンク先を参照のこと
雑誌名
Discussion paper series. CIRJE-F
巻
CIRJE-F-897
発行年
2013-07
書誌レコードID
AA11450569
フォーマット
application/pdf
出版者
日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model
