A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing

Toshihiro Yamada and Kenta Yamamoto

Year of publication:	2020
Authors:	Yamada, Toshihiro ; Yamamoto, Kenta
Subject:	Digital option \| European option \| Malliavin calculus \| Option pricing \| Quasi-Monte Carlo method \| SABR model \| Stochastic differential equations \| Weak approximation \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Optionsgeschäft \| Option trading \| Analysis \| Mathematical analysis \| Black-Scholes-Modell \| Black-Scholes model \| Derivat \| Derivative

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/14697688.2018.1430371 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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