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scientific article; zbMATH DE number 7089055

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7089055

Statements

scholarly article

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Mohamed Kharrat

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publication date

6 August 2019

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full work available at URL

http://inmabb.criba.edu.ar/revuma/pdf/v60n1/v60n1a09.pdf

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zbMATH Keywords

Malliavin calculus

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conditional expectation

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CIR process

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pricing American option

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MaRDI profile type

MaRDI publication profile

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American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods

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Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

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A Theory of the Term Structure of Interest Rates

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Applications of Malliavin calculus to Monte Carlo methods in finance

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Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options

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Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options

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PDE and martingale methods in option pricing.

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On a Generalization of a Stochastic Integral

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5227505

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