This paper shows a higher order discretization scheme for the Bismut-Elworthy-Li formula, the differentiation of diffusion semigroups. A weak approximation type algorithm with Malliavin weights is constructed through the integration by parts on Wiener space and is efficiently implemented by a...

This paper proposes a general approximation method for the solution to a second-order parabolic partial differential equation (PDE) widely used in finance through an extension of Leandre's approach (Leandre, 2006, 2008) and the Bismut identiy (e.g. chapter IX-7 of Malliavin, 1997) in Malliavin...