A weak approximation with asymptotic expansion and multidimensional Malliavin weights
type: Item
instance of: scholarly article
title: A weak approximation with asymptotic expansion and multidimensional Malliavin weights
zbMATH Open document ID: 1339.60099
DOI: 10.1214/15-AAP1105
author: Akihiko Takahashi
author: Toshihiro Yamada
published in: The Annals of Applied Probability
publication date: 2016-06-09T00:00:00Z
full work available at URL: https://arxiv.org/abs/1605.01243
full work available at URL: https://projecteuclid.org/euclid.aoap/1458651821
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6590324
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: expectations
zbMATH Keywords: asymptotic expansion
zbMATH Keywords: weak approximation
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: Watanabe theory
zbMATH Keywords: Kusuoka scheme
zbMATH Keywords: option pricing
zbMATH Keywords: stochastic volatility models
MaRDI profile type: Publication
arXiv ID: 1605.01243
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description: scientific article; zbMATH DE number 6590324