American options by Malliavin calculus and nonparametric variance and bias reduction methods

DOI10.1137/11083890XMaRDI QIDQ4902223zbMATH OpenFDO

Authors Lokman A. Abbas-Turki, Bernard Lapeyre

Publication date 25 January 2013

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusMonte CarloAmerican optionsgraphic processing unit

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Stopping times; optimal stopping problems; gambling theory (60G40)

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(15)

• Machine learning for pricing American options in high-dimensional Markovian and non-Markovian models
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• scientific article; zbMATH DE number 7089055 (Why is no real title available?)
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• Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
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• Pricing American Put Options Using Malliavin Calculus with Optimal Localization Function
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