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

DOI10.1080/00949655.2013.827846zbMath1453.60105OpenAlexW1982849178MaRDI QIDQ5219504

Yacin Jerbi, Mohamed Kharrat

Publication date: 12 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2013.827846

zbMATH Keywords

American option pricingMalliavin calculusconditional expectationJ-lawJ-processsmile curve

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Digital barrier options pricing: an improved Monte Carlo algorithm ⋮ Unnamed Item ⋮ Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options ⋮ Pricing arithmetic Asian option under a two-factor stochastic volatility model with jumps

Cites Work

• Unnamed Item
• On the theory of option pricing
• On the pricing of American options
• Reflected solutions of backward SDE's, and related obstacle problems for PDE's
• A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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