Pricing of path-dependent American options by Monte Carlo simulation

DOI10.1016/j.jedc.2006.12.003zbMath1163.91396OpenAlexW2032996335MaRDI QIDQ1027429

Masaaki Kijima, Hajime Fujiwara

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2006.12.003

zbMATH Keywords

dynamic programmingMalliavin calculusAmerican optionfloating-rate bond

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)

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Cites Work

• Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options
• Pricing American-style securities using simulation
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Monte Carlo valuation of American options
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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