Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options

DOI10.1007/S10614-005-9005-3zbMath1137.91466OpenAlexW1963704621MaRDI QIDQ853652

Nizar Touzi, Amina Zeghal, Moez Mrad

Publication date: 17 November 2006

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/13602

zbMATH Keywords

Monte CarloMalliavin calculusquantizationAmerican options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) 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 (2)

Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting ⋮ Pricing of path-dependent American options by Monte Carlo simulation

Cites Work

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• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II

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