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- W2078983403 abstract "Abstract In this paper, we consider a path-dependent option in finance under the constant elasticity of variance diffusion. We use a perturbation argument and the probabilistic representation (the Feynman–Kac theorem) of a partial differential equation to obtain a complete asymptotic expansion of the option price in a recursive manner based on the Black–Scholes formula and prove rigorously the existence of the expansion with a convergence error." @default.
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- W2078983403 date "2014-11-01" @default.
- W2078983403 modified "2023-09-24" @default.
- W2078983403 title "A recursive pricing formula for a path-dependent option under the constant elasticity of variance diffusion" @default.
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- W2078983403 doi "https://doi.org/10.1016/j.spl.2014.07.004" @default.
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