Gaussian K-scheme: justification for KLNV method

DOI10.1007/978-4-431-54324-4_3zbMath1354.91168OpenAlexW105597629MaRDI QIDQ2957760

Shigeo Kusuoka

Publication date: 30 January 2017

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

Full work available at URL: https://doi.org/10.1007/978-4-431-54324-4_3

zbMATH Keywords

Malliavin calculusoption pricingLie algebracomputational finance

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (8)

Algebraic structure of vector fields in financial diffusion models and its applications ⋮ Construction of a Third-Order K-Scheme and Its Application to Financial Models ⋮ Approximation of Markov semigroups in total variation distance under an irregular setting: an application to the CIR process ⋮ Convergence in total variation distance of a third order scheme for one-dimensional diffusion processes ⋮ Recent advances in various fields of numerical probability ⋮ A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing ⋮ Higher-order Discretization Methods of Forward-backward SDEs Using KLNV-scheme and Their Applications to XVA Pricing ⋮ Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles: practical applications of the KLNV-scheme

Cites Work

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• A new higher-order weak approximation scheme for stochastic differential equations and the Runge-Kutta method
• Cubature on Wiener space
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
• The partial malliavin calculus and its application to non-linear filtering
• Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus

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