Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts

DOI10.1137/130933629zbMath1338.60168OpenAlexW1976554733MaRDI QIDQ5253180

Andreas Neuenkirch, Martin Altmayer

Publication date: 4 June 2015

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

Full work available at URL: https://doi.org/10.1137/130933629

zbMATH Keywords

Malliavin calculusintegration by parts formuladiscontinuous payoffsdrift-implicit Euler schemegeneralized Heston modelmultilevel Monte Carlo quadrature

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integrals (60H05) 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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