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On Error Estimates for Asymptotic Expansions with Malliavin Weights : Application to Stochastic Volatility Model
en
Asymptotic expansion
Malliavin calculus
Kusuoka-Stroock functions
Stochastic volatility model
Option price
Greeks
Takahashi Akihiko
Yamada Toshihiro
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.
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Discussion paper series. CIRJE-F
CIRJE-F-897
2013-07
AA11450569
application/pdf
日本経済国際共同センター
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf897ab.html