Stochastic mesh methods for Hörmander type diffusion processes

DOI10.1007/978-4-431-54834-8_2MaRDI QIDQ5261859zbMATH OpenOpenAlexFDO

Authors Shigeo Kusuoka, Yusuke Morimoto

Publication date 8 July 2015

Published in Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-4-431-54834-8_2

zbMATH Keywords

Malliavin calculusoption pricingcomputational financestochastic mesh method

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) Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

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(8)

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