Asymptotic and non asymptotic approximations for option valuation - Archive ouverte HAL
Chapitre D'ouvrage Année : 2012

Asymptotic and non asymptotic approximations for option valuation

Résumé

We give a broad overview of approximation methods to derive analytical formulas for accurate and quick evaluation of option prices. We compare different approaches, from the theoretical point of view regarding the tools they require, and also from the numerical point of view regarding their performances. In the case of local volatility models with general time-dependency, we derive new formulas using the local volatility function at the mid-point between strike and spot: in general, our approximations outperform previous ones by Hagan and Henry-Labordère. We also provide approximations of the option delta.
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Dates et versions

hal-00720650 , version 1 (25-07-2012)

Identifiants

  • HAL Id : hal-00720650 , version 1

Citer

Romain Bompis, Emmanuel Gobet. Asymptotic and non asymptotic approximations for option valuation. Thomas Gerstner and Peter Kloeden. Computational finance, World scientific, pp.80, 2012. ⟨hal-00720650⟩
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