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Pré-Publication, Document De Travail Année : 2017

Effective asymptotic analysis for finance

Résumé

It is known that an adaptation of Newton's method allows for the computation of functional inverses of formal power series. We show that it is possible to successfully use a similar algorithm in a fairly general analytical framework. This is well suited for functions that are highly tangent to identity and that can be expanded with respect to asymptotic scales of ‘‘exp-log functions''. We next apply our algorithm to various well-known functions coming from the world of quantitative finance. In particular, we deduce asymptotic expansions for the inverses of the Gaussian and the Black–Scholes functions.
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Dates et versions

hal-01573621 , version 1 (10-08-2017)
hal-01573621 , version 2 (30-08-2017)
hal-01573621 , version 3 (28-11-2020)

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  • HAL Id : hal-01573621 , version 2

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Cyril Grunspan, Joris van der Hoeven. Effective asymptotic analysis for finance. 2017. ⟨hal-01573621v2⟩

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