Yusuke Okano

SMBC Nikko Securities

Shin-Marunouchi Bldg

1-5-1 Marunouchi

Chiyoda-ku, Tokyo 100-6519

Japan

SCHOLARLY PAPERS

1

DOWNLOADS

0

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (1)

1.

A Control Variate Method for Weak Approximation of SDEs via Discretization of Numerical Error of Asymptotic Expansion

Monte Carlo Methods and Applications, Volume 25, Issue 3, 239-252
Posted: 18 Jun 2020
Yusuke Okano and Toshihiro Yamada
SMBC Nikko Securities and Hitotsubashi University

Abstract:

Loading...

Heath-Platen estimator, Weak approximation, Stochastic differential equation, Asymptotic expansion, Monte Carlo simulation