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~person:"Meyer-Gohde, Alexander"
~person:"Yamada, Toshihiro"
~subject:"Option pricing theory"
~type_genre:"Article in journal"
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Option pricing theory
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An acceleration scheme for deep learning-based BSDE solver using weak expansions
Naito, Riu
;
Yamada, Toshihiro
- In:
International journal of financial engineering
7
(
2020
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012602946
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2
A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing
Yamada, Toshihiro
;
Yamamoto, Kenta
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1825-1837
Persistent link: https://www.econbiz.de/10012313518
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3
An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach
Takahashi, Akihiko
;
Yamada, Toshihiro
- In:
Asia-Pacific financial markets
23
(
2016
)
4
,
pp. 337-373
Persistent link: https://www.econbiz.de/10011619975
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