A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing

DOI10.1080/14697688.2018.1430371zbMath1471.91622OpenAlexW2792346281WikidataQ130195168 ScholiaQ130195168MaRDI QIDQ4957242

Toshihiro Yamada, Kenta Yamamoto

Publication date: 3 September 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1430371

zbMATH Keywords

Malliavin calculusoption pricingstochastic differential equationsweak approximationquasi-Monte Carlo methodEuropean optionSABR modeldigital option

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing ⋮ Control variate method for deep BSDE solver using weak approximation ⋮ Total variation bound for Milstein scheme without iterated integrals ⋮ A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus ⋮ A second-order weak approximation of SDEs using a Markov chain without Lévy area simulation ⋮ An Arbitrary High Order Weak Approximation of SDE and Malliavin Monte Carlo: Analysis of Probability Distribution Functions ⋮ Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis ⋮ A third-order weak approximation of multidimensional Itô stochastic differential equations ⋮ A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion

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