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Monte Carlo Simulation with Asymptotic Method
14 references·13 citing·39 second hop
Monte Carlo Simulation with Asymptotic Method (2005)Monte Carlo Simulation with Asymptotic Me…An Asymptotic Expansion Scheme for Optimal Investment Problems (2004)An Asymptotic Expansion Schem…On validity of the asymptotic expansion approach in contingent claim analysis (2003)On validity of the asymptotic…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…A Monte Carlo Method for Optimal Portfolios (2003)A Monte Carlo Method for Opti…The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims (2001)The Asymptotic Expansion Appr…An Asymptotic Expansion Approach to Pricing Financial Contingent Claims (1999)An Asymptotic Expansion Appro…The law of the Euler scheme for stochastic differential equations (1996)The law of the Euler scheme f…Variance Reduction for Simulated Diffusions (1994)Variance Reduction for Simula…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe (1992)Asymptotic expansions of maxi…Malliavin calculus for processes with jumps (1991)Malliavin calculus for proces…A generalized clark representation formula, with application to optimal portfolios (1991)A generalized clark represent…A pricing method for options based on average asset values (1990)A pricing method for options …Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…A new efficient approximation scheme for solving high-dimensional semilinear PDEs: Control variate method for Deep BSDE solver (2022)A new efficient approximation…Asymptotic Expansion Approach in Finance (2015)Asymptotic Expansion Approach…On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (2014)On Error Estimates for Asympt…Pricing Multi-Asset Cross Currency Options (2012)Pricing Multi-Asset Cross Cur…Approximations for Asian options in local volatility models (2012)Approximations for Asian opti…Pricing barrier and average options in a stochastic volatility environment. 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II (1985)An Asymptotic Expansion with Push-Down of Malliavin Weights (2012)Dynamic Asset Pricing Theory. 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(2012)On the existence of smooth densities for jump processes (1996)White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)
this work references cited by second hop

References

  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2003Monte Carlo Methods in Financial Engineering3,818 cited
  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1990A pricing method for options based on average asset values628 cited
  • 1996The law of the Euler scheme for stochastic differential equations375 cited
  • 2003A Monte Carlo Method for Optimal Portfolios306 cited
  • 1991A generalized clark representation formula, with application to optimal portfolios271 cited
  • 1991Malliavin calculus for processes with jumps263 cited
  • 1999An Asymptotic Expansion Approach to Pricing Financial Contingent Claims141 cited
  • 2001The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims135 cited
  • 1992Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe123 cited
  • 2003On validity of the asymptotic expansion approach in contingent claim analysis119 cited
  • 1994Variance Reduction for Simulated Diffusions94 cited
  • 2004An Asymptotic Expansion Scheme for Optimal Investment Problems71 cited

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2012
Approximations for Asian options in local volatility models
40 cited
  • 2009Computation in an Asymptotic Expansion Method36 cited
  • 2011Pricing barrier and average options in a stochastic volatility environment.33 cited
  • 2012Pricing Multi-Asset Cross Currency Options31 cited
  • 2010Pricing average options on commodities31 cited
  • 2015Asymptotic Expansion Approach in Finance29 cited
  • 2004Applications of the Asymptotic Expansion Approach based on Malliavin-Watanabe Calculus in Financial Problems29 cited
  • 2014On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model29 cited
  • 2004A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach24 cited
  • 2007An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates23 cited
  • 2008FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS23 cited
  • 2010A HYBRID ASYMPTOTIC EXPANSION SCHEME: AN APPLICATION TO LONG-TERM CURRENCY OPTIONS21 cited
  • 2022A new efficient approximation scheme for solving high-dimensional semilinear PDEs: Control variate method for Deep BSDE solver20 cited