Asymptotic expansion for some local volatility models arising in finance
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DOI: 10.1007/s10203-019-00247-w
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… read more here.
Keywords: models arising; finance; volatility models; local volatility ... See more keywords