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 means of the standard Monte Carlo technique as well as exploiting the Polynomial Chaos Expansion approach.

Asymptotic expansion for some local volatility models arising in finance / Albeverio, S.; Cordoni, F.; Di Persio, L.; Pellegrini, G.. - In: DECISIONS IN ECONOMICS AND FINANCE. - ISSN 1593-8883. - 42:2(2019), pp. 527-573. [10.1007/s10203-019-00247-w]

Asymptotic expansion for some local volatility models arising in finance

Albeverio S.;Cordoni F.;Di Persio L.;
2019

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 means of the standard Monte Carlo technique as well as exploiting the Polynomial Chaos Expansion approach.
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Albeverio, S.; Cordoni, F.; Di Persio, L.; Pellegrini, G.
Asymptotic expansion for some local volatility models arising in finance / Albeverio, S.; Cordoni, F.; Di Persio, L.; Pellegrini, G.. - In: DECISIONS IN ECONOMICS AND FINANCE. - ISSN 1593-8883. - 42:2(2019), pp. 527-573. [10.1007/s10203-019-00247-w]
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11572/322966
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