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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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Deep asymptotic expansion with weak approximation
Iguchi, Yuga; Naito, Riu; Okano, Yusuke; Yamada, Toshihiro - 2021 - Revised in August 2021
Persistent link: https://www.econbiz.de/10013336343
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Deep Asymptotic Expansion : Application to Financial Mathematics
Iguchi, Yuga; Naito, Riu; Takahashi, Akihiko; Yamada, … - 2021 - Revised in February 2022
Persistent link: https://www.econbiz.de/10013339086