Construction of a Third-Order K-Scheme and Its Application to Financial Models

DOI10.1137/16M1067986zbMath1407.91274OpenAlexW2769365594MaRDI QIDQ4607056

Yuji Shinozaki

Publication date: 12 March 2018

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

Full work available at URL: https://doi.org/10.1137/16m1067986

zbMATH Keywords

free Lie algebraMalliavin calculusstochastic differential equationsBlack-Scholes modelquasi-Monte Carlo methodAsian optionHeston modelcomputational financeSABR modelK-schemehigher-order discretization methoditerated Wiener integral

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) 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)

Related Items (5)

Monte Carlo construction of cubature on Wiener space ⋮ Approximation of Stochastic Volterra Equations with kernels of completely monotone type ⋮ A third-order weak approximation of multidimensional Itô stochastic differential equations ⋮ 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

Uses Software

• TOMS659
• sobol.cc

Cites Work

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