NDLI: Asymptotic Expansion for Small Diffusions Applied to Option Pricing

Content Provider	Semantic Scholar
Author	Uchida, Masayuki Yoshida, Nakahiro
Copyright Year	2004
Abstract	Using the Malliavin calculus, we derive asymptotic expansion of the distribution of statistics related to small diffusions. Applications to option pricing in economics are presented.
Starting Page	189
Ending Page	223
Page Count	35
File Format	PDF HTM / HTML
DOI	10.1023/B:SISP.0000049093.20850.11
Alternate Webpage(s)	http://www.ms.u-tokyo.ac.jp/~nakahiro/mypapers_for_personal_use/uchi-yos-option.pdf
Alternate Webpage(s)	https://doi.org/10.1023/B%3ASISP.0000049093.20850.11
Volume Number	7
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article

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