英文标题：
《Approximate pricing of European and Barrier claims in a local-stochastic
volatility setting》
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作者：
Weston Barger, Matthew Lorig
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最新提交年份：
2017
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英文摘要：
We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion in the correlation parameter between the underlying asset and volatility process. Rigorous accuracy results are provided for European-style claims. For barrier-style claims, we include several numerical examples to illustrate the accuracy and versatility of our approximations.
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中文摘要：
在一般的局部随机波动率环境下，我们推导了各种欧式和障碍式索赔的价格的渐近展开式。我们的方法将扩散系数的泰勒级数展开与标的资产和波动过程之间的相关参数展开相结合。为欧式索赔提供了严格的准确度结果。对于屏障式索赔，我们提供了几个数值示例来说明近似值的准确性和多功能性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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