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分類番号: CARF-F-347
発表時期: 2014 07
タイトル: On Error Estimates for Asymptotic Expansions with Malliavin Weights
- Application to Stochastic Volatility Model - (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research", Revised in September 2014)
著者: Akihiko Takahashi, Toshihiro Yamada
Abstract:

This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a general partially elliptic diffusion and a more general Wiener functional, which is applicable to various important valuation and risk management tasks in the financial business such as the ones for multi-dimensional diffusion and non-diffusion models. In particular, we take the Malliavin calculus approach, and estimate the error bounds for the Malliavin weights of both the coefficient and the residual terms in the expansions by effectively applying the properties of Kusuoka-Stroock functions. Moreover,a numerical experiment under the Heston-type model confirms the effectiveness of our method.

ファイル(PDF): full paper
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