On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model

DOI10.1287/MOOR.2014.0683zbMATH Open1337.60158OpenAlexW3023679964MaRDI QIDQ3449446FDOQ3449446

Authors: Akihiko Takahashi, Toshihiro Yamada 

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

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zbMATH Keywords

asymptotic expansionMalliavin calculuserror estimatesstochastic volatility modelGreeksoption priceKusuoka-Stroock functions

Mathematics Subject Classification ID

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

Cites Work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• The Malliavin Calculus and Related Topics
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• Cubature methods and applications
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• Momentum-space approach to asymptotic expansion for stochastic filtering
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• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
• Closed-form expansion, conditional expectation, and option valuation
• LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS
• Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method

Cited In (14)

• Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems
• A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
• 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
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
• Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
• Total variation bound for Milstein scheme without iterated integrals
• An asymptotic expansion with push-down of Malliavin weights
• Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
• Malliavin calculus method for asymptotic expansion of dual control problems
• Pricing average and spread options under local-stochastic volatility jump-diffusion models
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
• Pricing and exercising American options: an asymptotic expansion approach

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