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Monte Carlo Simulation with Asymptotic Method (Published in "Journal of Japan Statistical Society", Vol.35-2, 171-203, 2005. )

Citations

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Cited by:

  1. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver," CARF F-Series CARF-F-504, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jan 2022.
  2. Akihiko Takahashi & Masashi Toda, 2012. "Note on an Extension of an Asymptotic Expansion Scheme," CARF F-Series CARF-F-286, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Dec 2012.
  3. Akihiko Takahashi & Masashi Toda, 2013. "Note on an Extension of an Asymptotic Expansion Scheme," CARF F-Series CARF-F-312, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  4. Shiraya, Kenichiro & Takahashi, Akihiko, 2017. "A general control variate method for multi-dimensional SDEs: An application to multi-asset options under local stochastic volatility with jumps models in finance," European Journal of Operational Research, Elsevier, vol. 258(1), pages 358-371.
  5. Akihiko Takahashi & Toshihiro Yamada, 2021. "Asymptotic Expansion and Deep Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Kolmogorov Partial Differential Equations with Nonlinear Coefficients," CIRJE F-Series CIRJE-F-1167, CIRJE, Faculty of Economics, University of Tokyo.
  6. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2010. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-745, CIRJE, Faculty of Economics, University of Tokyo.
  7. Kohta Takehara & Masashi Toda & Akihiko Takahashi, 2010. "Application Of A High-Order Asymptotic Expansion Scheme To Long-Term Currency Options," CARF F-Series CARF-F-225, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  8. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2022. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver (Journal of Computational Physics, published online 19 January 2022)," CARF F-Series CARF-F-532, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Feb 2022.
  9. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for Deep BSDE solver," Papers 2101.09890, arXiv.org, revised Jan 2021.
  10. Akihiko Takahashi & Yoshihiro Yajima, 2011. "An Asymptotic Expansion with Push-Down of Malliavin Weights," CIRJE F-Series CIRJE-F-824, CIRJE, Faculty of Economics, University of Tokyo.
  11. Akihiko Takahashi & Yukihiro Tsuzuki, 2013. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CIRJE F-Series CIRJE-F-874, CIRJE, Faculty of Economics, University of Tokyo.
  12. Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model-," CARF F-Series CARF-F-324, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2014.
  13. Kohta Takehara & Akihiko Takahashi & Masashi Toda, 2010. "New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme," CIRJE F-Series CIRJE-F-728, CIRJE, Faculty of Economics, University of Tokyo.
  14. Akihiko Takahashi & Yukihiro Tsuzuki, 2013. "A New Improvement Scheme for Approximation Methods of Probability Density Functions," CARF F-Series CARF-F-305, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  15. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2011. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-787, CIRJE, Faculty of Economics, University of Tokyo.
  16. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CARF F-Series CARF-F-176, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised May 2010.
  17. Kohta Takehara & Masashi Toda & Akihiko Takahashi, 2010. "Application of a High-Order Asymptotic Expansion Scheme to Long-Term Currency Options," CIRJE F-Series CIRJE-F-753, CIRJE, Faculty of Economics, University of Tokyo.
  18. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2012. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CARF F-Series CARF-F-272, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  19. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2011. "A General Computation Scheme for a High-Order Asymptotic Expansion Method," CARF F-Series CARF-F-242, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Jul 2011.
  20. Akihiko Takahashi & Masashi Toda, 2012. "Note on an Extension of an Asymptotic Expansion Scheme," CIRJE F-Series CIRJE-F-860, CIRJE, Faculty of Economics, University of Tokyo.
  21. Kohta Takehara & Akihiko Takahashi & Masashi Toda, 2010. "New Unified Computational Algorithm in a High-Order Asymptotic Expansion Scheme ( Forthcoming in "The Proceedings of KIER-TMU International Workshop on Financial Engineering 2009".)," CARF F-Series CARF-F-212, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  22. Masahiro Nishiba, 2013. "Pricing Exotic Options and American Options: A Multidimensional Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 147-182, May.
  23. Akihiko Takahashi & Toshihiro Yamada, 2013. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -- Application to Stochastic Volatility Model --," CIRJE F-Series CIRJE-F-897, CIRJE, Faculty of Economics, University of Tokyo.
  24. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 69-121, March.
  25. Ryosuke Matsuoka & Akihiko Takahashi & Yoshihiko Uchida, 2004. "A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(4), pages 393-430, December.
  26. Akihiko Takahashi & Toshihiro Yamada, 2014. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research," CARF F-Series CARF-F-347, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2014.
  27. Akihiko Takahashi & Yoshifumi Tsuchida & Toshihiro Yamada, 2021. "A New Efficient Approximation Scheme for Solving High-Dimensional Semilinear PDEs: Control Variate Method for Deep BSDE Solver," CIRJE F-Series CIRJE-F-1159, CIRJE, Faculty of Economics, University of Tokyo.
  28. Kenichiro Shiraya & Akihiko Takahashi & Masashi Toda, 2009. "Pricing Barrier and Average Options under Stochastic Volatility Environment," CIRJE F-Series CIRJE-F-682, CIRJE, Faculty of Economics, University of Tokyo.
  29. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion: Application to Financial Mathematics," CIRJE F-Series CIRJE-F-1178, CIRJE, Faculty of Economics, University of Tokyo.
  30. Akihiko Takahashi & Yoshihiko Uchida, 2004. "New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation (Revised in June 2005, subsequently published in "Advances in Mathematical Economics", Vol.8, 411-431, 2006. ," CARF F-Series CARF-F-012, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  31. Akihiko Takahashi & Toshihiro Yamada, 2011. "An Asymptotic Expansion with Push-Down of Malliavin Weights," CARF F-Series CARF-F-256, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  32. Akihiko Takahashi & Yoshihiko Uchida, 2004. "New Acceleration Schemes with the Asymptotic Expansion in Monte Carlo Simulation," CIRJE F-Series CIRJE-F-298, CIRJE, Faculty of Economics, University of Tokyo.
  33. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CIRJE F-Series CIRJE-F-621, CIRJE, Faculty of Economics, University of Tokyo.
  34. Kenichiro Shiraya & Akihiko Takahashi & Akira Yamazaki, 2010. "Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models," CARF F-Series CARF-F-214, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  35. Akihiko Takahashi, 2015. "Asymptotic Expansion Approach in Finance," CARF F-Series CARF-F-356, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2015.
  36. Akihiko Takahashi & Kohta Takehara & Masashi Toda, 2009. "Computation in an Asymptotic Expansion Method," CARF F-Series CARF-F-149, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  37. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion with Weak Approximation ," CIRJE F-Series CIRJE-F-1168, CIRJE, Faculty of Economics, University of Tokyo.
  38. Yuga Iguchi & Riu Naito & Yusuke Okano & Akihiko Takahashi & Toshihiro Yamada, 2021. "Deep Asymptotic Expansion: Application to Financial Mathematics（forthcoming in proceedings of IEEE CSDE 2021)," CARF F-Series CARF-F-523, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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