Kenta Yamamoto

Bank of Tokyo-Mitsubishi, Ltd.

Japan

SCHOLARLY PAPERS

3

DOWNLOADS

75

CITATIONS

0

Scholarly Papers (3)

1.

A Second Order Discretization with Malliavin Weight and Quasi-Monte Carlo Method for Option Pricing

Number of pages: 22 Posted: 07 Aug 2017 Last Revised: 06 Feb 2018
Toshihiro Yamada and Kenta Yamamoto
Hitotsubashi University and Bank of Tokyo-Mitsubishi, Ltd.
Downloads 67 (329,889)

Abstract:

Loading...

option pricing, European option, digital option, Quasi Monte Carlo method, SABR model, weak approximation, stochastic differential equations, Malliavin calculus

2.

A Second Order Weak Approximation of SDEs Using Markov Chain Without Levy Area Simulation

Number of pages: 21 Posted: 23 Oct 2018
Toshihiro Yamada and Kenta Yamamoto
Hitotsubashi University and Bank of Tokyo-Mitsubishi, Ltd.
Downloads 8 (579,497)

Abstract:

Loading...

3.

Second Order Discretization of Bismut-Elworthy-Li Formula: Application to Sensitivity Analysis

SIAM/ASA Journal on Uncertainty Quantification, 2018
Posted: 12 Feb 2019
Toshihiro Yamada and Kenta Yamamoto
Hitotsubashi University and Bank of Tokyo-Mitsubishi, Ltd.

Abstract:

Loading...

Bismut-Elworthy-Li Formula, Stochastic Differential Equations, Weak Approximation, Sensitivity Analysis, Malliavin Calculus, Monte Carlo Simulation