Graduate School of Economics, the University of Tokyo
抄録
This note presents an extension of a general computational scheme of an asymptotic expansion proposed by our previous works([47], [41], [42]). In particular, through change of variable technique as well as the various ways of setting perturbation parameters in an expansion, we provide flexibility of setting the benchmark distribution around which the expansion is made, and an automatic way for computation up to an arbitrary order in the expansion. For instance, we introduce new expansions so called Log-normal expansion and CEV expansion. We also show some concrete examples with numerical experiment, which implies a high order CEV expansion will produce more precise and stable approximation for option pricing under SABR model than existing approximation methods.
内容記述
Revised in January 2013.
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-860
発行年
2012-09
書誌レコードID
AA11450569
フォーマット
application/pdf
日本十進分類法
335
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
Note on an Extension of an Asymptotic Expansion Scheme
