Pagliarani, Stefano and Pascucci, Andrea (2011): Analytical approximation of the transition density in a local volatility model.
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We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps.
|Item Type:||MPRA Paper|
|Original Title:||Analytical approximation of the transition density in a local volatility model|
|English Title:||Analytical approximation of the transition density in a local volatility model|
|Keywords:||option pricing, analytical approximation, local volatility|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates|
|Depositing User:||Andrea Pascucci|
|Date Deposited:||26. May 2011 09:37|
|Last Modified:||13. Feb 2013 12:23|
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