scientific article; zbMATH DE number 7089055
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Publication:5227505
zbMath1422.91709MaRDI QIDQ5227505
Publication date: 6 August 2019
Full work available at URL: http://inmabb.criba.edu.ar/revuma/pdf/v60n1/v60n1a09.pdf
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Numerical methods (including Monte Carlo methods) (91G60) 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 (3)
Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing ⋮ Pricing Options Under Time-Fractional Model Using Adomian Decomposition ⋮ Unnamed Item
Cites Work
- PDE and martingale methods in option pricing.
- Applications of Malliavin calculus to Monte Carlo methods in finance
- A Theory of the Term Structure of Interest Rates
- On a Generalization of a Stochastic Integral
- Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options
- American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods
- Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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