Pricing American Put Options Using Malliavin Calculus with Optimal Localization Function

DOI10.7546/CRABS.2021.10.04zbMath1499.91141OpenAlexW3208977651MaRDI QIDQ5068223

Mohamed Kharrat

Publication date: 5 April 2022

Full work available at URL: https://doi.org/10.7546/crabs.2021.10.04

zbMATH Keywords

American option pricingMalliavin calculuslocalization function\( J \)-process

Mathematics Subject Classification ID

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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