Implicit American Monte Carlo methods for nonlinear functional of future portfolio value

DOI10.1007/s13160-017-0271-yzbMath1411.91627OpenAlexW2762568049MaRDI QIDQ1684762

Yusuke Morimoto

Publication date: 12 December 2017

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-017-0271-y

zbMATH Keywords

Malliavin calculusoption pricingcomputational financestochastic mesh methodXVA

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Cubature methods for stochastic (partial) differential equations in weighted spaces
• Least Square Regression Methods for Bermudan Derivatives and Systems of Functions
• Stochastic Mesh Methods for Hörmander Type Diffusion Processes
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Derivative pricing under asymmetric and imperfect collateralization and CVA
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