A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion
DOI10.1515/MCMA-2019-2044zbMATH Open1425.60062OpenAlexW2968993686WikidataQ127364952 ScholiaQ127364952MaRDI QIDQ2335720FDOQ2335720
Authors: Yusuke Okano, Toshihiro Yamada 
Publication date: 15 November 2019
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2019-2044
Recommendations
- A weak approximation with asymptotic expansion and multidimensional Malliavin weights
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- Publication:4865433
- Truncated control variates for weak approximation schemes
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- The Malliavin Calculus and Related Topics
- Title not available (Why is that?)
- A survey of numerical methods for stochastic differential equations
- Title not available (Why is that?)
- Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
- Stochastic calculus of variations in mathematical finance.
- A weak approximation with asymptotic expansion and multidimensional Malliavin weights
- An asymptotic expansion with push-down of Malliavin weights
- The asymptotic expansion approach to the valuation of interest rate contingent claims
- Sharp estimates for the convergence of the density of the Euler scheme in small time
- Monte Carlo methods and models in finance and insurance.
- A benchmark approach to quantitative finance
- The partial malliavin calculus and its application to non-linear filtering
- Euler scheme and tempered distributions
- A variance reduction technique based on integral representations
- A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation
- A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
- Pricing barrier options in the Heston model using the Heath-Platen estimator
- An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions
- Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis
Cited In (6)
- A Control Variate Approach Based on a Defect-Type Theory for Variance Reduction in Stochastic Homogenization
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
- A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
- A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
- Computational Science - ICCS 2004
- Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
This page was built for publication: A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2335720)
