On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model

DOI10.1287/moor.2014.0683zbMath1337.60158OpenAlexW3023679964MaRDI QIDQ3449446

Toshihiro Yamada, Akihiko Takahashi

Publication date: 4 November 2015

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/c2b110d3a98cc1a2fe935d1237f815c15657fc8d

zbMATH Keywords

error estimatesasymptotic expansionMalliavin calculusoption pricestochastic volatility modelGreeksKusuoka-Stroock functions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach ⋮ A weak approximation with asymptotic expansion and multidimensional Malliavin weights ⋮ A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver ⋮ A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting ⋮ 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 ⋮ Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ Pricing Average and Spread Options Under Local-Stochastic Volatility Jump-Diffusion Models ⋮ Pricing and exercising American options: an asymptotic expansion approach

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