Construction of a Third-Order K-Scheme and Its Application to Financial Models
DOI10.1137/16M1067986zbMath1407.91274OpenAlexW2769365594MaRDI QIDQ4607056
Publication date: 12 March 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1067986
free Lie algebraMalliavin calculusstochastic differential equationsBlack-Scholes modelquasi-Monte Carlo methodAsian optionHeston modelcomputational financeSABR modelK-schemehigher-order discretization methoditerated Wiener integral
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) 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)
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