Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis
type: Item
instance of: scholarly article
title: Second Order Discretization of Bismut--Elworthy--Li Formula: Application to Sensitivity Analysis
zbMATH Open document ID: 1454.60073
DOI: 10.1137/17M1142399
author: Toshihiro Yamada
author: Kenta Yamamoto
published in: SIAM/ASA Journal on Uncertainty Quantification
publication date: 2019-08-12T00:00:00Z
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 90C31
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7091906
zbMATH Keywords: Bismut-Elworthy-Li Formula
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: weak approximation
zbMATH Keywords: sensitivity analysis
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: Monte Carlo simulation
MaRDI profile type: Publication
cites work: Large deviations and the Malliavin calculus
cites work: Estimating Security Price Derivatives Using Simulation
cites work: Malliavin Greeks without Malliavin calculus
cites work: Complete–market models of stochastic volatility
cites work: Malliavin Monte Carlo Greeks for jump diffusions
cites work: Formulae for the derivatives of heat semigroups
cites work: Applications of Malliavin calculus to Monte Carlo methods in finance
cites work: Q4433608
cites work: Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
cites work: Efficient and Practical Implementations of Cubature on Wiener Space
cites work: Q3992729
cites work: Q4004325
cites work: Q4535130
cites work: Q4432883
cites work: Approximation of expectation of diffusion processes based on Lie algebra and Malliavin calculus
cites work: Q3336457
cites work: Cubature on Wiener space
cites work: Representation theorems for backward stochastic differential equations
cites work: Q4337939
cites work: Stochastic calculus of variations in mathematical finance.
cites work: A new computational scheme for computing Greeks by the asymptotic expansion approach
cites work: The Malliavin Calculus and Related Topics
cites work: Asymptotic Expansion Approach in Finance
cites work: An Asymptotic Expansion with Push-Down of Malliavin Weights
cites work: A weak approximation with asymptotic expansion and multidimensional Malliavin weights
cites work: An introduction to analysis on Wiener space
cites work: A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights
cites work: A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Wikidata QID: Q128592641
description: scientific article; zbMATH DE number 7091906