Seisho Sato | Searcharxiv

arXiv2023

Extended Relative Power Contribution that Allows to Evaluate the Effect of Correlated Noise

We proposed an extension of Akaike's relative power contribution that could be applied to data with correlations between noises. This method decomposes the power spectrum into a contribution of the terms caused by correlation between two noises, in addition to the contributions of the independent noises. Numerical examples confirm that some of the correlated noise has the effect of reducing the power spectrum.

stat.ME↗

arXiv2012

An FBSDE Approach to American Option Pricing with an Interacting Particle Method

In the paper, we propose a new calculation scheme for American options in the framework of a forward backward stochastic differential equation (FBSDE). The well-known decomposition of an American option price with that of a European option of the same maturity and the remaining early exercise premium can be cast into the form of a decoupled non-linear FBSDE. We numerically solve the FBSDE by applying an interacting particle method recently proposed by Fujii and Takahashi (2012d), which allows one to perform a Monte Carlo simulation in a fully forward-looking manner. We perform the fourth-order analysis for the Black-Scholes (BS) model and the third-order analysis for the Heston model. The comparison to those obtained from existing tree algorithms shows the effectiveness of the particle method.

q-fin.CP↗