Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options
DOI10.1007/S10614-005-9005-3zbMATH Open1137.91466OpenAlexW1963704621MaRDI QIDQ853652FDOQ853652
Authors: Moez Mrad, Nizar Touzi, Amina Zeghal 
Publication date: 17 November 2006
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://basepub.dauphine.fr/handle/123456789/13602
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Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- Title not available (Why is that?)
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- Pricing American-style securities using simulation
- Variance Reduction Methods for Simulation of Densities on Wiener Space
Cited In (6)
- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- Estimating multidimensional density functions using the Malliavin-Thalmaier formula
- Forests, cumulants, martingales
- An optimal control variance reduction method for density estimation
- Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
- Pricing of path-dependent American options by Monte Carlo simulation
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