An eigenfunction expansion approach for the derivation of asymptotic expansions in financial valuation problems
Author:
Affiliation:
1. Mizuho Securities Co. Ltd.
2. Tokyo Metropolitan University
Publisher
The Japan Society for Industrial and Applied Mathematics
Subject
General Engineering
Link
https://www.jstage.jst.go.jp/article/jsiaml/14/0/14_25/_pdf
Reference4 articles.
1. 1) A. Takahashi, An asymptotic expansion approach to pricing financial contingent claims, Asia-Pac. Financ. Mark., 6 (1999), 115-151.
2. 2) A. Takahashi, K. Takehara and M. Toda, A general computation scheme for a high-order asymptotic expansion method, Int. J. Theor. Appl. Finance, 15 (2012), 1250044.
3. 3) A. Takahashi and T. Yamada, A remark on approximation of the solutions to partial differential equations in finance, in: Recent Advances in Financial Engineering 2011, pp. 133-181, World Scientific, Singapore, 2012.
4. 4) A. Arai, Inequivalent Representations of Canonical Commutation and Anti-Commutation Relations, Springer, Singapore, 2020.
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