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A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights
http://hdl.handle.net/2261/55623
http://hdl.handle.net/2261/5562304742d56-0909-4626-8662-ccf16f45d136
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | A Weak Approximation with Asymptotic Expansion and Multidimensional Malliavin Weights | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Asymptotic expansion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Weak approximation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Malliavin calculus | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Watanabe theory | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Kusuoka Scheme | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Option pricing | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Takahashi, Akihiko
× Takahashi, Akihiko× Yamada, Toshihiro |
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著者所属 | ||||||
著者所属 | University of Tokyo | |||||
著者所属 | ||||||
著者所属 | MTEC | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper develops a new efficient scheme for approximations of expectations of the solutions to stochastic differential equations (SDEs). In particular, we present a method for connecting approximate operators based on an asymptotic expansion with multidimensional Malliavin weights to compute a target expectation value precisely. The mathematical validity is given based on Watanabe and Kusuoka theories in Malliavin calculus. Moreover, numerical experiments for option pricing under local and stochastic volatility models confirm the effectiveness of our scheme. Especially, our weak approximation substantially improve the accuracy at deep Out-of-The-Moneys (OTMs). | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Revised in January 2014. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-909, 発行日 2013-12 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf909ab.html |