A weak approximation with asymptotic expansion and multidimensional Malliavin weights

DOI10.1214/15-AAP1105zbMath1339.60099arXiv1605.01243MaRDI QIDQ292908

Toshihiro Yamada, Akihiko Takahashi

Publication date: 9 June 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1605.01243

zbMATH Keywords

asymptotic expansionMalliavin calculusoption pricingstochastic differential equationsexpectationsweak approximationstochastic volatility modelsKusuoka schemeWatanabe theory

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items

A higher order weak approximation of McKean-Vlasov type SDEs, A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver, Weak Milstein scheme without commutativity condition and its error bound, Weak approximation of SDEs for tempered distributions and applications, Asymptotic expansion for forward-backward SDEs with jumps, A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting, Control variate method for deep BSDE solver using weak approximation, Total variation bound for Milstein scheme without iterated integrals, A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus, Deep Weak Approximation of SDEs: A Spatial Approximation Scheme for Solving Kolmogorov Equations, Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus, A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation, Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization, An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions, Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms, Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions, A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing, Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels, High order weak approximation for irregular functionals of time-inhomogeneous SDEs, A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus, Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models, A weak approximation method for irregular functionals of hypoelliptic diffusions, Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis, A third-order weak approximation of multidimensional Itô stochastic differential equations, A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion, Pricing and exercising American options: an asymptotic expansion approach, A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An asymptotic expansion approach to pricing financial contingent claims
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• On validity of the asymptotic expansion approach in contingent claim analysis
• Stochastic calculus of variations in mathematical finance.
• Momentum-space approach to asymptotic expansion for stochastic filtering
• Cubature Methods and Applications
• NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME
• Cubature on Wiener space
• The Malliavin Calculus and Related Topics
• On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model
• A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD
• An Asymptotic Expansion with Push-Down of Malliavin Weights
• Semi-closed form cubature and applications to financial diffusion models
• Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus