An Asymptotic Expansion with Push-Down of Malliavin Weights

DOI10.1137/100807624zbMath1257.91052OpenAlexW1529305232MaRDI QIDQ4902206

Publication date: 25 January 2013

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d5a6470d7fb46270c17ac1f8bd885a28c0c53067

zbMATH Keywords

asymptotic expansion stochastic volatility Malliavin calculus implied volatility jump-diffusion model integration-by-parts Malliavin weight Malliavin calculus for Poisson processes push-down shifted log-normal model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (38)

A higher order weak approximation of McKean-Vlasov type SDEs ⋮ 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 ⋮ On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model ⋮ Weak Milstein scheme without commutativity condition and its error bound ⋮ Asymptotic Expansion Approach in Finance ⋮ A Small Noise Asymptotic Expansion for Young SDE Driven by Fractional Brownian Motion: A Sharp Error Estimate With Malliavin Calculus ⋮ Weak approximation of SDEs for tempered distributions and applications ⋮ Asymptotic expansion formula of option price under multifactor Heston model ⋮ Closed-form implied volatility surfaces for stochastic volatility models with jumps ⋮ A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting ⋮ Pricing discrete barrier options under stochastic volatility ⋮ Control variate method for deep BSDE solver using weak approximation ⋮ Total variation bound for Milstein scheme without iterated integrals ⋮ A formula of small time expansion for Young SDE driven by fractional Brownian motion ⋮ 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 ⋮ A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation ⋮ A semigroup expansion for pricing barrier options ⋮ 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 ⋮ An FBSDE approach to American option pricing with an interacting particle method ⋮ 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 ⋮ Asymptotic expansion for some local volatility models arising in finance ⋮ A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus ⋮ A weak approximation method for irregular functionals of hypoelliptic diffusions ⋮ EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION ⋮ STRONG CONVERGENCE FOR EULER–MARUYAMA AND MILSTEIN SCHEMES WITH ASYMPTOTIC METHOD ⋮ Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis ⋮ A third-order weak approximation of multidimensional Itô stochastic differential equations ⋮ An asymptotic expansion formula for up-and-out barrier option price under stochastic volatility model ⋮ NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME ⋮ 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

This page was built for publication: An Asymptotic Expansion with Push-Down of Malliavin Weights