Monte Carlo methods for pricing and hedging American options in high dimension

DOI10.3233/RDA-2011-0044zbMath1409.91273OpenAlexW1541674476MaRDI QIDQ3119589

Antonino Zanette, Lucia Caramellino

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2011-0044

zbMATH Keywords

hedgingMalliavin calculusoption pricingMonte Carlo methodsAmerican options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing ⋮ Pricing Surrender Risk in Ratchet Equity-Index Annuities under Regime-Switching Lévy Processes

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