Kunitomo and Takahashi (1995, 2001) have proposed a new methodology,
called small disturbance asymptotics,
for the valuation problem of
financial contingent claims when the underlying asset prices
follow a general class of continuous Itô processes.
It can be applicable to a wide range of valuation problems,
including complicated contingent claims associated with
the Black--Scholes model and the term structure model of interest rates in the
Heath--Jarrow--Morton framework. Our approach can be rigorously justified by
an infinite-dimensional analysis called the Watanabe--Yoshida theory on the Malliavin calculus recently developed
in stochastic analysis.
Publié le : 2003-08-14
Classification:
Valuation of financial contingent claims,
asymptotic expansion,
small disturbance asymptotics,
validity,
Wanatabe-Yoshida theory,
Malliavin calculus,
90A09,
60H07
@article{1060202831,
author = {Kunitomo, Naoto and Takahashi, Akihiko},
title = {On validity of the asymptotic expansion approach in contingent claim analysis},
journal = {Ann. Appl. Probab.},
volume = {13},
number = {1},
year = {2003},
pages = { 914-952},
language = {en},
url = {http://dml.mathdoc.fr/item/1060202831}
}
Kunitomo, Naoto; Takahashi, Akihiko. On validity of the asymptotic expansion approach in contingent claim analysis. Ann. Appl. Probab., Tome 13 (2003) no. 1, pp. 914-952. http://gdmltest.u-ga.fr/item/1060202831/