Asymptotic expansion for some local volatility models arising in finance
Probability
2018-09-19 v1
Abstract
In this paper we study the small noise asymptotic expansions for certain classes of local volatility models arising in finance. We provide explicit expressions for the involved coefficients as well as accurate estimates on the remainders. Moreover, we perform a detailed numerical analysis, with accuracy comparisons, of the obtained results by mean of the standard Monte Carlo technique as well as exploiting the polynomial Chaos Expansion approach.
Keywords
Cite
@article{arxiv.1809.06596,
title = {Asymptotic expansion for some local volatility models arising in finance},
author = {Sergio ALbeverio and Francesco Cordoni and Luca Di Persio and Gregorio Pellegrini},
journal= {arXiv preprint arXiv:1809.06596},
year = {2018}
}