English

Asymptotics for $d$-dimensional L\'evy-type processes

Computational Finance 2014-12-01 v2

Abstract

We consider a general d-dimensional Levy-type process with killing. Combining the classical Dyson series approach with a novel polynomial expansion of the generator A(t) of the Levy-type process, we derive a family of asymptotic approximations for transition densities and European-style options prices. Examples of stochastic volatility models with jumps are provided in order to illustrate the numerical accuracy of our approach. The methods described in this paper extend the results from Corielli et al. (2010), Pagliarani and Pascucci (2013) and Lorig et al. (2013a) for Markov diffusions to Markov processes with jumps.

Keywords

Cite

@article{arxiv.1404.3153,
  title  = {Asymptotics for $d$-dimensional L\'evy-type processes},
  author = {Matthew Lorig and Stefano Pagliarani and Andrea Pascucci},
  journal= {arXiv preprint arXiv:1404.3153},
  year   = {2014}
}

Comments

20 Pages, 3 figures, 3 tables

R2 v1 2026-06-22T03:48:56.668Z