On the Malliavin approach to Monte Carlo approximation of conditional expectations

DOI10.1007/S00780-003-0109-0zbMATH Open1051.60061OpenAlexW2568282999MaRDI QIDQ1887263FDOQ1887263

Nizar Touzi, Bruno Bouchard, Ivar Ekeland

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0109-0

zbMATH Keywords

Malliavin calculuscalculus of variationsMonte Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cited In (36)

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• Collection of problems proposed at International Conference on Variational Methods
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• Recurrent formulae and the Bellman principle in the Monte Carlo method
• Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
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• Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
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• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
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• Discretizing Malliavin calculus
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• Convergence of the deep BSDE method for coupled FBSDEs
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• Dual pricing of multi-exercise options under volume constraints
• Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
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• On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights
• Approximation Scheme for Solutions of BSDEs with Two Reflecting Barriers
• Enhanced policy iteration for American options via scenario selection
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• A regression-based Monte Carlo method to solve two-dimensional forward backward stochastic differential equations
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
• A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
• Numerical methods for backward stochastic differential equations: a survey
• Pricing of path-dependent American options by Monte Carlo simulation
• Analyzing the dynamics of the refining margin: implications for valuation and hedging
• Probabilistic methods for semilinear partial differential equations. Applications to finance
• Feynman-Kac representation of fully nonlinear PDEs and applications

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