American options by Malliavin calculus and nonparametric variance and bias reduction methods
From MaRDI portal
Publication:4902223
DOI10.1137/11083890XzbMATH Open1257.91045MaRDI QIDQ4902223FDOQ4902223
Authors: Lokman A. Abbas-Turki, Bernard Lapeyre 
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Recommendations
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
- Monte Carlo methods for pricing and hedging American options in high dimension
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- A Monte Carlo simulation on pricing of high dimensional American options based on variance reduction
- Asymmetric Variance Reduction for Pricing American Options
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stopping times; optimal stopping problems; gambling theory (60G40)
Cited In (15)
- Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
- On pricing options under two stochastic volatility processes
- Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing
- Variance reduction techniques for pricing American options using function approximations
- Title not available (Why is that?)
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
- Pricing Options Under Time-Fractional Model Using Adomian Decomposition
- Impulse control of a diffusion with a change point
- Monte Carlo methods for pricing and hedging American options in high dimension
- Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
- Pricing European and American options under fractional model
- Asymmetric Variance Reduction for Pricing American Options
- Pricing American Put Options Using Malliavin Calculus with Optimal Localization Function
- American option pricing under the double Heston model based on asymptotic expansion
This page was built for publication: American options by Malliavin calculus and nonparametric variance and bias reduction methods
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4902223)
