Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities

2017 ◽  
Vol 47 (6) ◽  
pp. 1328-1349 ◽  
Author(s):  
Betuel Canhanga ◽  
Anatoliy Malyarenko ◽  
Ying Ni ◽  
Milica Rančić ◽  
Sergei Silvestrov
Keyword(s):  
Asymptotic Expansion ◽  
Option Pricing ◽  
Expansion Method ◽  
Second Order ◽  
European Option ◽  
European Option Pricing ◽  
Numerical Studies ◽  
Stochastic Volatilities ◽  
Asymptotic Expansion Method

scholarly journals The Asymptotic Expansion Method via Symbolic Computation

2012 ◽  
Vol 2012 ◽  
pp. 1-24 ◽  
Author(s):  
Juan F. Navarro
Keyword(s):  
Differential Equation ◽  
Asymptotic Expansion ◽  
Perturbation Method ◽  
Symbolic Computation ◽  
Order Differential Equation ◽  
Expansion Method ◽  
Second Order ◽  
Second Order Differential Equation ◽  
Asymptotic Expansion Method

This paper describes an algorithm for implementing a perturbation method based on an asymptotic expansion of the solution to a second-order differential equation. We also introduce a new symbolic computation system which works with the so-called modified quasipolynomials, as well as an implementation of the algorithm on it.

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