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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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A weak approximation with Malliavin weights for local stochastic volatility model
Yamada, Toshihiro - In: International journal of financial engineering 4 (2017) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10011673104
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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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An asymptotic expansion of forward-backward SDEs with a perturbed driver
Takahashi, Akihiko; Yamada, Toshihiro - In: International journal of financial engineering 2 (2015) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10011333428
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On error estimates for asymptotic expansions with Malliavin weights : application to stochastic volatility model
Takahashi, Akihiko; Yamada, Toshihiro - In: Mathematics of operations research 40 (2015) 3, pp. 513-541
Persistent link: https://www.econbiz.de/10011338705
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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
Persistent link: https://www.econbiz.de/10009660697
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Strong convergence for Euler-Maruyama and Milstein schemes with asymptotic method
Tanaka, Hideyuki; Yamada, Toshihiro - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10010363902
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Discrete bismut formula : conditional integration by parts and a representation for delta hedging process
Akiyama, Naho; Yamada, Toshihiro - In: Risk and decision analysis 9 (2023) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10014450637
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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