Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing

DOI10.3906/mat-2105-6zbMath1498.91446OpenAlexW4236633726MaRDI QIDQ5101025

Fabian Bastin, Mohamed Kharrat

Publication date: 2 September 2022

Published in: TURKISH JOURNAL OF MATHEMATICS (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3906/mat-2105-6

zbMATH Keywords

stochastic volatilityMalliavin calculusconditional expectationpricing American option

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)

Cites Work

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