Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems
نویسندگان
چکیده
This paper reviews the asymptotic expansion approach based on MalliavinWatanabe Calculus in Mathematical Finance. We give the basic formulation of the asymptotic expansion approach and discuss its power and usefulness to solve important problems arisen in finance. As illustrations we use three major problems in finance and give some useful formulae and new results including numerical analyses.
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