Pricing of path-dependent American options by Monte Carlo simulation
DOI10.1016/J.JEDC.2006.12.003zbMATH Open1163.91396OpenAlexW2032996335MaRDI QIDQ1027429FDOQ1027429
Authors: Hajime Fujiwara, Masaaki Kijima 
Publication date: 1 July 2009
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2006.12.003
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Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Monte Carlo valuation of American options
- Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- Pricing American-style securities using simulation
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options
Cited In (8)
- Pricing American put option on zero-coupon bond in a jump-extended CIR model
- A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
- Using forward Monte-Carlo simulation for the valuation of American barrier options
- Option pricing via Monte Carlo simulation. A weak derivative approach
- Backward simulation methods for pricing American options under the CIR process
- Backdating executive stock options -- an ex ante valuation
- Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
- Number of paths versus number of basis functions in American option pricing
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