AbstractWe consider the Black–Scholes model where we add a perturbation term ∑iεiσi to the model with diffusion coefficient σ0(t). Then we derive an asymptotic expansion for the expected value of an European call option at time t. This is done by applying methods of Malliavin calculus. Borel summability of the derived asymptotic expansion is proven
In this paper we derive analytic expressions for the value of European Put and Call options when th...
Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decad...
We consider a basket or spread option on based on a multi-dimensional local volatility model. Bayer ...
AbstractWe consider the Black–Scholes model where we add a perturbation term ∑iεiσi to the model wit...
AbstractIn finance, many option pricing models generalizing the Black–Scholes model do not have clos...
International audienceBecause of its very general formulation, the local volatility model does not h...
AbstractNonlinear Black–Scholes equations have been increasingly attracting interest over the last t...
This thesis discusses the use of perturbation theory in the context of financial mathematics, in par...
In this paper, we study the small noise asymptotic expansions for certain classes of local volatilit...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
This thesis discusses the use of perturbation theory in the context of financial mathematics, in par...
The validity of an approximation formula for European option prices under a general stochastic volat...
AbstractWe study the Black–Scholes equation in stochastic volatility models. In particular, we show ...
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We...
Modern financial engineering is a part of applied mathematics that studies market models. Each model...
In this paper we derive analytic expressions for the value of European Put and Call options when th...
Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decad...
We consider a basket or spread option on based on a multi-dimensional local volatility model. Bayer ...
AbstractWe consider the Black–Scholes model where we add a perturbation term ∑iεiσi to the model wit...
AbstractIn finance, many option pricing models generalizing the Black–Scholes model do not have clos...
International audienceBecause of its very general formulation, the local volatility model does not h...
AbstractNonlinear Black–Scholes equations have been increasingly attracting interest over the last t...
This thesis discusses the use of perturbation theory in the context of financial mathematics, in par...
In this paper, we study the small noise asymptotic expansions for certain classes of local volatilit...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
This thesis discusses the use of perturbation theory in the context of financial mathematics, in par...
The validity of an approximation formula for European option prices under a general stochastic volat...
AbstractWe study the Black–Scholes equation in stochastic volatility models. In particular, we show ...
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We...
Modern financial engineering is a part of applied mathematics that studies market models. Each model...
In this paper we derive analytic expressions for the value of European Put and Call options when th...
Nonlinear Black–Scholes equations have been increasingly attracting interest over the last two decad...
We consider a basket or spread option on based on a multi-dimensional local volatility model. Bayer ...
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