Asymptotic Expansion Approach in Finance

Akihiko Takahashi
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Akihiko Takahashi: Faculty of Economics, The University of Tokyo

No CIRJE-F-950, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: This paper provides a survey on an asymptotic expansion approach to valuation and hedging problems in nance. 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 nance such as pricing and hedging derivatives under high-dimensional stochastic environments. The present note gives an overview of the approach.

Pages: 51 pages
Date: 2014-12
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2014cf950

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