A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting
The paper introduces a novel high order discretization scheme for expectation of jump-diffusion processes by using a Malliavin calculus approach and an operator splitting method. The test function of the target expectation is assumed to be only Lipschitz continuous in order to apply the method to fi...
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Published in | Monte Carlo methods and applications Vol. 28; no. 2; pp. 97 - 110 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Berlin
De Gruyter
01.06.2022
Walter de Gruyter GmbH |
Subjects | |
Online Access | Get full text |
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Summary: | The paper introduces a novel high order discretization scheme for expectation of jump-diffusion processes by using a Malliavin calculus approach and an operator splitting method. The test function of the target expectation is assumed to be only Lipschitz continuous in order to apply the method to financial problems. Then Kusuoka’s estimate is employed to justify the proposed discretization scheme. The algorithm with a numerical example is shown for implementation. |
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ISSN: | 0929-9629 1569-3961 |
DOI: | 10.1515/mcma-2022-2109 |