Pricing American Put Options Using Malliavin Calculus with Optimal Localization Function
From MaRDI portal
Recommendations
- scientific article; zbMATH DE number 7089055
- scientific article; zbMATH DE number 5172395
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
- American options by Malliavin calculus and nonparametric variance and bias reduction methods
- Optimal parameters for pricing of the American put options with least square Monte Carlo simulation
- Hedging American options in Merton's model: A locally risk minimizing approach
- Calibrated American option pricing by stochastic linear programming
- scientific article; zbMATH DE number 5305358
- Strict local martingale deflators and valuing American call-type options
- Pricing and hedging american options analytically: a perturbation method
Cited in
(8)- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- scientific article; zbMATH DE number 5305358 (Why is no real title available?)
- Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options
- Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing
- Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
- scientific article; zbMATH DE number 7089055
- scientific article; zbMATH DE number 5172395 (Why is no real title available?)
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options
This page was built for publication: Pricing American Put Options Using Malliavin Calculus with Optimal Localization Function
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5068223)
