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Pricing Discrete Barrier Options Under Stochastic Volatility
Shiraya, Kenichiro; Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific Financial Markets 19 (2012) 3, pp. 205-232
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively applied in pricing barrier options with...
Persistent link: https://www.econbiz.de/10010989079
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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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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014331906
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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014383870
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021
Persistent link: https://www.econbiz.de/10012813680
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - This version : August 10, 2021
Persistent link: https://www.econbiz.de/10012616192
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Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: May 9, 2023
Persistent link: https://www.econbiz.de/10014289121
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Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version : May 9, 2023
Persistent link: https://www.econbiz.de/10014266288
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A new efficient approximation scheme for solving high-dimensional semilinear PDEs : control variate method for Deep BSDE solver
Takahashi, Akihiko; Tsuchida, Yoshifumi; Yamada, Toshihiro - 2021 - Revised in August, November 2021, January and February 2022
Persistent link: https://www.econbiz.de/10013335002