Asymptotic Expansion Approach in Finance

Akihiko Takahashi
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Akihiko Takahashi: The University of Tokyo

No CARF-F-356, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: 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.

Pages: 51 pages
Date: 2015-01, Revised 2015-08
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Citations: View citations in EconPapers (36)

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