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

zbMATH Keywords

Malliavin calculusMonte CarloquantizationAmerican options

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
• Pricing American-style securities using simulation
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Variance Reduction Methods for Simulation of Densities on Wiener Space

Cited in

(6)

• Forests, cumulants, martingales
• An optimal control variance reduction method for density estimation
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Pricing of path-dependent American options by Monte Carlo simulation
• Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
• Estimating multidimensional density functions using the Malliavin-Thalmaier formula

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