American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods
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Publication:4902223
DOI10.1137/11083890XzbMath1257.91045MaRDI QIDQ4902223
Bernard Lapeyre, Lokman A. Abbas-Turki
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (8)
Unnamed Item ⋮ Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing ⋮ Pricing Options Under Time-Fractional Model Using Adomian Decomposition ⋮ Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting ⋮ Unnamed Item ⋮ American option pricing under the double Heston model based on asymptotic expansion ⋮ Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models ⋮ Impulse control of a diffusion with a change point
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