Academy of Mathematics and Systems Science, CAS Colloquia & Seminars
Speaker:
Prof. Tai-Ho Wang,The City University of New York
Inviter:
夏建明
Title:
Bridge representation and small time approximation of transition density
Time & Venue:
2016.11.2 15:00-16:00 N613
Abstract:
In this talk we present a bridge representation for the transition density of stochastic process driven by either standard Brownian motions or mixed Brownian and fractional Brownian motions. A small time approximation of the transition density is readily obtained by approximating the bridge representation with a single deterministic path, which in the classical case recovers the heat kernel expansion for diffusion processes. Applications of such small time approximations include small time asymptotics for prices and implied volatilities of European and Asian options. The talk is based on joint works with Jiro Akahori and Xiaoming Song.