CIRJE-F-950 | "Asymptotic Expansion Approach in Finance" |
Author Name | Takahashi, Akihiko |
Date | December 2014 |
Full Paper | PDF file (Brief Summary) |
Remarks | Subsequently published in Large Deviations and Asymptotic Methods in Finance, Vol.110, Ch.13, Springer, pp.345-411(67 pages), 2015. |
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. |