Munich Personal RePEc Archive

Analytical approximation of the transition density in a local volatility model

Pagliarani, Stefano and Pascucci, Andrea (2011): Analytical approximation of the transition density in a local volatility model.

[img]
Preview
PDF
MPRA_paper_31107.pdf

Download (5MB) | Preview

Abstract

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.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.