Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing (Q5101025)
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scientific article; zbMATH DE number 7581119
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing |
scientific article; zbMATH DE number 7581119 |
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Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing (English)
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2 September 2022
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conditional expectation
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Malliavin calculus
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stochastic volatility
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pricing American option
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