A new computational scheme for computing Greeks by the asymptotic expansion approach

DOI10.1007/S10690-006-9020-YzbMATH Open1154.91512OpenAlexW2050251961MaRDI QIDQ853863FDOQ853863

Authors Ryosuke Matsuoka, Akihiko Takahashi, Yoshihiko Uchida 

Publication date 17 November 2006

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-006-9020-y

zbMATH Keywords

option pricingMonte Carlo simulationCEV processGreeksasymptotic expansion approachvariance reduction method

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites Work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• An asymptotic expansion approach to pricing financial contingent claims
• An asymptotic expansion scheme for optimal investment problems
• Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems
• New acceleration schemes with the asymptotic expansion in Monte Carlo simulation
• On validity of the asymptotic expansion approach in contingent claim analysis
• The asymptotic expansion approach to the valuation of interest rate contingent claims

Cited In (17)

• Computation of Delta Greek for Non-linear Models in Mathematical Finance
• Asymptotic expansion for some local volatility models arising in finance
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
• A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS
• FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS
• A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver
• New acceleration schemes with the asymptotic expansion in Monte Carlo simulation
• Second order discretization of Bismut-Elworthy-Li formula: application to sensitivity analysis
• A general computation scheme for a high-order asymptotic expansion method
• On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
• Asymptotic expansion approach in finance
• Pricing exotic options and American options: a multidimensional asymptotic expansion approach
• Computing Greeks for Lévy Models: The Fourier Transform Approach
• A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
• Note on an extension of an asymptotic expansion scheme
• Conditional Monte Carlo scheme for stable Greeks of worst-of autocallable notes

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