Stochastic Mesh Methods for Hörmander Type Diffusion Processes

DOI10.1007/978-4-431-54834-8_2zbMath1349.91309OpenAlexW573682207MaRDI QIDQ5261859

Yusuke Morimoto, Shigeo Kusuoka

Publication date: 8 July 2015

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

Full work available at URL: https://doi.org/10.1007/978-4-431-54834-8_2

zbMATH Keywords

Malliavin calculusoption pricingcomputational financestochastic mesh method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

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