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An Asymptotic Expansion for Forward-Backward SDEs : A Malliavin Calculus Approach
http://hdl.handle.net/2261/52388
http://hdl.handle.net/2261/5238812e44c6e-4412-48c6-a234-9a4106915330
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | An Asymptotic Expansion for Forward-Backward SDEs : A Malliavin Calculus Approach | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Forward-backward Stochastic Differential Equations (FBSDEs) | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Asymptotic expansion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Malliavin calculus | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | CVA | |||||
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 |
|||||
著者所属 | ||||||
著者所属 | The 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 proposes a new closed-form approximation scheme for the forward-backward stochastic differential equations (FBSDEs). In particular, we obtain an error estimate for the scheme applying an asymptotic expansion in Malliavin calculus for the forward SDEs combined with the Picard iteration scheme for the BSDEs. We also show a numerical example for pricing options with counterparty risk under Heston model, where the credit value adjustment (CVA) is taken into account. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Revised in November 2012 and December 2012 and January 2013. | |||||
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-865, 発行日 2012-10 |
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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 | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
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/2012/2012cf865ab.html |