A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights

DOI10.1016/j.cam.2017.03.001zbMath1366.65007OpenAlexW2599923222MaRDI QIDQ2357445

Toshihiro Yamada

Publication date: 13 June 2017

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2017.03.001

zbMATH Keywords

numerical examplesMalliavin calculusoption pricingstochastic differential equationsweak approximation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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