Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting

DOI10.1080/07362994.2018.1561306zbMath1493.60108OpenAlexW2922692025MaRDI QIDQ5742555

Catherine Daveloose, Michèle Vanmaele, Asma Khedher

Publication date: 15 May 2019

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2018.1561306

zbMATH Keywords

Lévy processesMalliavin calculusMonte Carlo methodsconditional expectationpricingAmerican optionreduction of varianceconditional density method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) 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) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Uses Software

• BENCHOP

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options
• Canonical Lévy process and Malliavin calculus
• Malliavin calculus in Lévy spaces and applications to finance.
• Pricing American-style securities using simulation
• A differential equations approach to the modal location for a family of bivariate gamma distributions
• Malliavin calculus applied to finance
• On the stability the least squares Monte Carlo
• Pricing multi-asset American options: A finite element method-of-Lines with smooth penalty
• Error analysis of the optimal quantization algorithm for obstacle problems.
• Malliavin Monte Carlo Greeks for jump diffusions
• BENCHOP – The BENCHmarking project in option pricing
• Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
• Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
• THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
• A NOVEL NUMERICAL APPROACH OF COMPUTING AMERICAN OPTION
• The Malliavin Calculus and Related Topics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Variance Reduction Methods for Simulation of Densities on Wiener Space
• American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• On dependence of volatility on return for stochastic volatility models
• Option pricing when underlying stock returns are discontinuous
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
• Quasi-Monte Carlo methods for the Kou model
• Products and compositions with the Dirac delta function
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

This page was built for publication: Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting