New acceleration schemes with the asymptotic expansion in Monte Carlo simulation

zbMATH Open1108.41022MaRDI QIDQ5482569FDOQ5482569

Authors: Akihiko Takahashi, Yoshihiko Uchida 

Publication date: 28 August 2006

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zbMATH Keywords

numerical experimentsMonte Carlo integrationasymptotic expansion approachnew computational techniqueTakahashi-Yoshida algorithm

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

Cited In (4)

• Asymptotic Expansion Approach in Finance
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• A general computation scheme for a high-order asymptotic expansion method
• A new computational scheme for computing Greeks by the asymptotic expansion approach

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