Asymptotic Expansion for Small Diffusions Applied to Option Pricing

By Masayuki Uchida, Nakahiro Yoshida. 2004

48 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/83a2f9bc30f613b600d1d35f0b6c89d1a20d4f8a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Hongwei Long
2. Chunhua Ma
3. Yasutaka Shimizu
4. Arnaud Gloter
5. Michael SØrensen
6. Hiroki Masuda
7. Nakahiro Yoshida
8. Susanne Ditlevsen

In Mathematical Physics

1. Hongwei Long
2. Chunhua Ma
3. Michael SØrensen
4. Arnaud Gloter
5. Yasutaka Shimizu
6. Nakahiro Yoshida
7. Masayuki Uchida
8. Markus Reiß

Citations in the corpus

• Least squares estimators for stochastic differential equations driven by small Lévy noises (2017, methodology): “For the problem of parameter estimation based on continuous observations, we refer to Kunitomo and Takahashi [14], Kutoyants [15,16], Yoshida [46–48], Takahashi and Yoshida [40], and Uchida and Yoshida [43,44].”
• Estimation for stochastic differential equations with a small diffusion coefficient (2009, background): “Information criteria were studied by Uchida & Yoshida (2004a).”