Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis

DOI10.1137/17M1142399MaRDI QIDQ5228352zbMATH OpenWikidataFDO

Authors Toshihiro Yamada, Kenta Yamamoto

Publication date 12 August 2019

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/17M1142399

zbMATH Keywords

Bismut-Elworthy-Li FormulaMalliavin calculusMonte Carlo simulationsensitivity analysisstochastic differential equationsweak approximation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Sensitivity, stability, parametric optimization (90C31) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
• The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
• Second order discretization of backward SDEs and simulation with the cubature method
• A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
• scientific article; zbMATH DE number 3863080

Cites work

• A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
• A new computational scheme for computing Greeks by the asymptotic expansion approach
• A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
• A weak approximation with asymptotic expansion and multidimensional Malliavin weights
• An asymptotic expansion with push-down of Malliavin weights
• An introduction to analysis on Wiener space
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
• Asymptotic expansion approach in finance
• Complete–market models of stochastic volatility
• Cubature on Wiener space
• Efficient and Practical Implementations of Cubature on Wiener Space
• Estimating Security Price Derivatives Using Simulation
• Formulae for the derivatives of heat semigroups
• scientific article; zbMATH DE number 3870339 (Why is no real title available?)
• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 1014073 (Why is no real title available?)
• scientific article; zbMATH DE number 1998237 (Why is no real title available?)
• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 1754702 (Why is no real title available?)
• Large deviations and the Malliavin calculus
• Malliavin Greeks without Malliavin calculus
• Malliavin Monte Carlo Greeks for jump diffusions
• Representation theorems for backward stochastic differential equations
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
• Stochastic calculus of variations in mathematical finance.
• The Malliavin Calculus and Related Topics

Cited in

(13)

• The Bismut-Elworthy-Li formula for mean-field stochastic differential equations
• A weak approximation method for irregular functionals of hypoelliptic diffusions
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
• Weak approximation of SDEs for tempered distributions and applications
• Acceleration of automatic differentiation of solutions to parabolic partial differential equations: a higher order discretization
• A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus
• 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
• Operator splitting around Euler-Maruyama scheme and high order discretization of heat kernels
• Control variate method for deep BSDE solver using weak approximation
• 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
• Sensitivity analysis for mean-field stochastic differential equations with jumps and its applications in option pricing

This page was built for publication: Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5228352)