EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
2010 ◽
Vol 13
(04)
◽
pp. 603-634
◽
Keyword(s):
Because of its very general formulation, the local volatility model does not have an analytical solution for European options. In this article, we present a new methodology to derive closed form solutions for the price of any European options. The formula results from an asymptotic expansion, terms of which are Black-Scholes price and related Greeks. The accuracy of the formula depends on the payoff smoothness and it converges with very few terms.
2007 ◽
Vol 44
(04)
◽
pp. 865-879
◽
EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION
2014 ◽
Vol 17
(02)
◽
pp. 1450010
◽
Keyword(s):
2007 ◽
Vol 44
(4)
◽
pp. 865-879
◽
Keyword(s):