Cubature on Wiener space: pathwise convergence

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dc.contributor.authorBayer, Christian
dc.contributor.authorFriz, Peter K.
dc.date.accessioned2016-05-17T17:42:00Z
dc.date.available2019-06-28T08:22:52Z
dc.date.issued2013
dc.description.abstractCubature on Wiener space [Lyons, T.; Victoir, N.; Proc. R. Soc. Lond. A 8 January 2004 vol. 460 no. 2041 169-198] provides a powerful alternative to Monte Carlo simulation for the integration of certain functionals on Wiener space. More specifically, and in the language of mathematical finance, cubature allows for fast computation of European option prices in generic diffusion models. We give a random walk interpretation of cubature and similar (e.g. the Ninomiya--Victoir) weak approximation schemes. By using rough path analysis, we are able to establish weak convergence for general path-dependent option prices.eng
dc.description.versionpublishedVersioneng
dc.identifier.urihttps://oa.tib.eu/renate/handle/123456789/3341
dc.language.isoengeng
dc.publisherCambridge : arXiveng
dc.relation.urihttp://arxiv.org/abs/1304.4623v1
dc.rights.licenseThis document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties.eng
dc.rights.licenseDieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden.ger
dc.subject.ddc510eng
dc.subject.otherCubatureeng
dc.subject.otherrough pathseng
dc.subject.otherweak approximation schemes for SDEseng
dc.subject.otherpricing of pathdependent optionseng
dc.titleCubature on Wiener space: pathwise convergenceeng
dc.typeReporteng
dc.typeTexteng
tib.accessRightsopenAccesseng
wgl.contributorWIASeng
wgl.subjectMathematikeng
wgl.typeReport / Forschungsbericht / Arbeitspapiereng
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