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Note on an Extension of an Asymptotic Expansion Scheme
en
Takahashi Akihiko
Toda Masashi
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.
Revised in January 2013.
本文フィルはリンク先を参照のこと
Discussion paper series. CIRJE-F
CIRJE-F-860
2012-09
AA11450569
application/pdf
335
日本経済国際共同センター
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2012/2012cf860ab.html