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Research on Enterprise Expansion Risk Early-warningBased on Financial Prosperity Monitoring
Financial Prosperity Monitoring Enterprise Expansion
2015/5/26
There exists objective and inherent logical relationship between financial prosperity and enterprise expansion risk. This paper divides financial prosperity monitoring indicators into leading indicato...
Asymptotic analysis for stochastic volatility: Edgeworth expansion
Asymptotic analysis stochastic volatility Edgeworth expansion
2010/10/19
The validity of an approximation formula for European option prices under a general stochastic volatility model is proved in the light of the Edgeworth expansion for ergodic diffusions. The asymptotic...
Basket Options Valuation for a Local Volatility Jump-Diffusion Model with the Asymptotic Expansion Method
Basket options pricing local volatility jump-diffusion model forward PIDE
2010/10/19
In this paper we discuss the basket options valuation for a jump-diffusion model. The underlying asset prices follow some correlated local volatility diffusion processes with systematic jumps. We deri...