Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

DOI10.1515/156939605777585944zbMath1137.91425OpenAlexW2006475668MaRDI QIDQ5315933

Lucia Caramellino, Antonino Zanette, Vlad Bally

Publication date: 12 September 2005

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: http://hal.inria.fr/docs/00/07/17/82/PDF/RR-4804.pdf

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (20)

Computation of Greeks using binomial trees in a jump-diffusion model ⋮ Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach ⋮ Unnamed Item ⋮ Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing ⋮ Pricing Options Under Time-Fractional Model Using Adomian Decomposition ⋮ Application of kernel-based stochastic gradient algorithms to option pricing ⋮ Computation of Greeks in jump-diffusion models using discrete Malliavin calculus ⋮ Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options ⋮ Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting ⋮ Analyzing the dynamics of the refining margin: implications for valuation and hedging ⋮ On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights ⋮ Unnamed Item ⋮ Model risk and discretisation of locally risk-minimising strategies ⋮ Approximation of backward stochastic differential equations using Malliavin weights and least-squares regression ⋮ Stochastic mesh method for optimal stopping problems ⋮ Stochastic mesh method for optimal stopping problems ⋮ Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options ⋮ Pricing of path-dependent American options by Monte Carlo simulation ⋮ The Valuation of American Options with Stochastic Stopping Time Constraints ⋮ Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models

Cites Work

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• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Parabolic ADI Methods for Pricing American Options on Two Stocks
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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