{"id":"https://openalex.org/W1976554733","doi":"https://doi.org/10.1137/130933629","title":"Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts","display_name":"Multilevel Monte Carlo Quadrature of Discontinuous Payoffs in the Generalized Heston Model Using Malliavin Integration by Parts","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W1976554733","doi":"https://doi.org/10.1137/130933629","mag":"1976554733"},"language":"en","primary_location":{"id":"doi:10.1137/130933629","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130933629","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5058980154","display_name":"Martin Altmayer","orcid":null},"institutions":[{"id":"https://openalex.org/I177802217","display_name":"University of Mannheim","ror":"https://ror.org/031bsb921","country_code":"DE","type":"education","lineage":["https://openalex.org/I177802217"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Martin Altmayer","raw_affiliation_strings":["Institut f\u00fcr Mathematik, Universit\u00e4t Mannheim, A5,6, D-68131 Mannheim, Germany,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Mathematik, Universit\u00e4t Mannheim, A5,6, D-68131 Mannheim, Germany,","institution_ids":["https://openalex.org/I177802217"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5088256243","display_name":"Andreas Neuenkirch","orcid":"https://orcid.org/0000-0002-0419-1225"},"institutions":[{"id":"https://openalex.org/I177802217","display_name":"University of Mannheim","ror":"https://ror.org/031bsb921","country_code":"DE","type":"education","lineage":["https://openalex.org/I177802217"]}],"countries":["DE"],"is_corresponding":false,"raw_author_name":"Andreas Neuenkirch","raw_affiliation_strings":["Institut f\u00fcr Mathematik, Universit\u00e4t Mannheim, A5,6, D-68131 Mannheim, Germany,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institut f\u00fcr Mathematik, Universit\u00e4t Mannheim, A5,6, D-68131 Mannheim, Germany,","institution_ids":["https://openalex.org/I177802217"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I177802217"],"apc_list":null,"apc_paid":null,"fwci":5.3669,"has_fulltext":false,"cited_by_count":33,"citation_normalized_percentile":{"value":0.95462274,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"6","issue":"1","first_page":"22","last_page":"52"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9793999791145325,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.9740999937057495,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/numerical-integration","display_name":"Numerical integration","score":0.6916916370391846},{"id":"https://openalex.org/keywords/estimator","display_name":"Estimator","score":0.6786212921142578},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.6639560461044312},{"id":"https://openalex.org/keywords/malliavin-calculus","display_name":"Malliavin calculus","score":0.6464739441871643},{"id":"https://openalex.org/keywords/quadrature","display_name":"Quadrature (astronomy)","score":0.626099169254303},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6141244173049927},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5937047600746155},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.574962854385376},{"id":"https://openalex.org/keywords/quasi-monte-carlo-method","display_name":"Quasi-Monte Carlo method","score":0.5412904620170593},{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.5326034426689148},{"id":"https://openalex.org/keywords/stochastic-game","display_name":"Stochastic game","score":0.531670331954956},{"id":"https://openalex.org/keywords/monte-carlo-integration","display_name":"Monte Carlo integration","score":0.47205692529678345},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.2727200984954834},{"id":"https://openalex.org/keywords/hybrid-monte-carlo","display_name":"Hybrid Monte Carlo","score":0.2636575400829315},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.24761554598808289},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.20890694856643677},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.1889967918395996},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.18590211868286133},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.1719529628753662},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.09527495503425598},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08590570092201233},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.07792487740516663}],"concepts":[{"id":"https://openalex.org/C127349201","wikidata":"https://www.wikidata.org/wiki/Q753445","display_name":"Numerical integration","level":2,"score":0.6916916370391846},{"id":"https://openalex.org/C185429906","wikidata":"https://www.wikidata.org/wiki/Q1130160","display_name":"Estimator","level":2,"score":0.6786212921142578},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.6639560461044312},{"id":"https://openalex.org/C11505638","wikidata":"https://www.wikidata.org/wiki/Q6744166","display_name":"Malliavin calculus","level":4,"score":0.6464739441871643},{"id":"https://openalex.org/C62869609","wikidata":"https://www.wikidata.org/wiki/Q28137","display_name":"Quadrature (astronomy)","level":2,"score":0.626099169254303},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6141244173049927},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5937047600746155},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.574962854385376},{"id":"https://openalex.org/C63320529","wikidata":"https://www.wikidata.org/wiki/Q7269435","display_name":"Quasi-Monte Carlo method","level":5,"score":0.5412904620170593},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.5326034426689148},{"id":"https://openalex.org/C22171661","wikidata":"https://www.wikidata.org/wiki/Q1074380","display_name":"Stochastic game","level":2,"score":0.531670331954956},{"id":"https://openalex.org/C132725507","wikidata":"https://www.wikidata.org/wiki/Q39879","display_name":"Monte Carlo integration","level":5,"score":0.47205692529678345},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.2727200984954834},{"id":"https://openalex.org/C13153151","wikidata":"https://www.wikidata.org/wiki/Q1639846","display_name":"Hybrid Monte Carlo","level":4,"score":0.2636575400829315},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.24761554598808289},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.20890694856643677},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.1889967918395996},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.18590211868286133},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.1719529628753662},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.09527495503425598},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08590570092201233},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.07792487740516663},{"id":"https://openalex.org/C120665830","wikidata":"https://www.wikidata.org/wiki/Q14620","display_name":"Optics","level":1,"score":0.0},{"id":"https://openalex.org/C84629840","wikidata":"https://www.wikidata.org/wiki/Q16979017","display_name":"Stochastic partial differential equation","level":3,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1137/130933629","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130933629","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.660.6942","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.660.6942","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://dfg-spp1324.de/download/preprints/preprint144.pdf","raw_type":"text"},{"id":"pmh:oai:ub-madoc.bib.uni-mannheim.de:37052","is_oa":false,"landing_page_url":"https://madoc.bib.uni-mannheim.de/37052/","pdf_url":null,"source":{"id":"https://openalex.org/S4377196315","display_name":"MADOC (University of Mannheim)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I177802217","host_organization_name":"University of Mannheim","host_organization_lineage":["https://openalex.org/I177802217"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Zeitschriftenartikel"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W1480459000","https://openalex.org/W2006367766","https://openalex.org/W2011337807","https://openalex.org/W2011569301","https://openalex.org/W2023446392","https://openalex.org/W2024591553","https://openalex.org/W2064978316","https://openalex.org/W2073168439","https://openalex.org/W2115906242","https://openalex.org/W2119734576","https://openalex.org/W2136024542","https://openalex.org/W2163715525","https://openalex.org/W2185209740","https://openalex.org/W2254488552","https://openalex.org/W2591788282","https://openalex.org/W2997679055","https://openalex.org/W3105063129","https://openalex.org/W3121649785","https://openalex.org/W3122025015","https://openalex.org/W3123581802","https://openalex.org/W3123725596","https://openalex.org/W3124191912","https://openalex.org/W3124654226","https://openalex.org/W3125660228"],"related_works":["https://openalex.org/W1982242183","https://openalex.org/W3122571583","https://openalex.org/W590971457","https://openalex.org/W3016438207","https://openalex.org/W2082240576","https://openalex.org/W2488809685","https://openalex.org/W2127997631","https://openalex.org/W4253135066","https://openalex.org/W1969136379","https://openalex.org/W4253505826"],"abstract_inverted_index":{"In":[0],"this":[1],"article,":[2],"we":[3,24],"establish":[4],"an":[5],"integration":[6,48],"by":[7,49,78,85],"parts":[8,50],"formula":[9,59],"for":[10],"the":[11,36,40,53],"quadrature":[12],"of":[13,42],"discontinuous":[14],"payoffs":[15],"in":[16,60],"a":[17,43,63],"multidimensional":[18],"Heston":[19],"model.":[20],"For":[21],"its":[22],"derivation":[23],"use":[25],"Malliavin":[26],"calculus":[27],"techniques":[28],"and":[29,38,56,82],"work":[30],"under":[31,39],"mild":[32],"integrability":[33],"conditions":[34],"on":[35],"payoff":[37,64],"assumption":[41],"strictly":[44],"positive":[45],"volatility.":[46],"The":[47],"procedure":[51],"smoothes":[52],"original":[54],"functional,":[55],"thus":[57],"our":[58,79],"combination":[61],"with":[62],"splitting":[65],"allows":[66],"us":[67],"to":[68],"construct":[69],"efficient":[70],"multilevel":[71],"Monte":[72],"Carlo":[73],"estimators.":[74],"This":[75],"is":[76,83],"confirmed":[77],"numerical":[80,87],"analysis":[81],"illustrated":[84],"several":[86],"examples.":[88]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":6},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":1}],"updated_date":"2026-07-15T18:14:33.161393","created_date":"2025-10-10T00:00:00"}