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| HAL: hal-00720650, version 1 |
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| Computational finance, Thomas Gerstner and Peter Kloeden (Ed.) (2012) 80 |
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| Asymptotic and non asymptotic approximations for option valuation |
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| Romain Bompis 1Emmanuel Gobet 1 |
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| (2012) |
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| 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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| 1: | Centre de Mathématiques Appliquées - Ecole Polytechnique (CMAP) |
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Polytechnique - X – CNRS : UMR7641 |
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| Subject | : | Mathematics/Probability Quantitative Finance/Pricing of Securities |
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| hal-00720650, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00720650 | |
| oai:hal.archives-ouvertes.fr:hal-00720650 | |
| From: Emmanuel Gobet | |
| Submitted on: Wednesday, 25 July 2012 12:05:41 | |
| Updated on: Wednesday, 25 July 2012 12:52:53 | |
