Asymptotic Expansion Approach in Finance
نویسنده
چکیده
This paper provides a survey on an asymptotic expansion approach to valuation and hedging problems in finance. The asymptotic expansion is a widely applicable methodology for analytical approximations of expectations of certain Wiener functionals. Hence not only academic researchers but also practitioners have been applying the scheme to a variety of problems in finance such as pricing and hedging derivatives under high-dimensional stochastic environments. The present note gives an overview of the approach.
منابع مشابه
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