Pricing of path-dependent American options by Monte Carlo simulation

DOI10.1016/J.JEDC.2006.12.003MaRDI QIDQ1027429zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Malliavin calculusdynamic programmingAmerican optionfloating-rate bond

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Interest-rate option models: understanding, analysing and using models for exotic interest-rate options.
• Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options
• Monte Carlo valuation of American 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

Cited in

(8)

• Using forward Monte-Carlo simulation for the valuation of American barrier options
• Backdating executive stock options -- an ex ante valuation
• Backward simulation methods for pricing American options under the CIR process
• Option pricing via Monte Carlo simulation. A weak derivative approach
• Pricing American put option on zero-coupon bond in a jump-extended CIR model
• Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view
• A unified approach to Bermudan and barrier options under stochastic volatility models with jumps
• Number of paths versus number of basis functions in American option pricing

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