Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options

DOI10.1007/s10614-005-9005-3zbMath1137.91466MaRDI QIDQ853652

Nizar Touzi, Moez Mrad, 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

zbMATH Keywords

Monte Carlo; Malliavin calculus; quantization; American options

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Pricing of path-dependent American options by Monte Carlo simulation

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