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Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
16 references·2 citing·34 second hop
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach (2005)Pricing and hedging American options by M…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…On the Malliavin approach to Monte Carlo approximation of conditional expectations (2004)On the Malliavin approach to …Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…Variance Reduction Methods for Simulation of Densities on Wiener Space (2002)Variance Reduction Methods fo…Parabolic ADI Methods for Pricing American Options on Two Stocks (2002)Parabolic ADI Methods for Pri…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Applications of Malliavin calculus to Monte-Carlo methods in finance. II (2001)Applications of Malliavin cal…Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives (1999)Optimal stopping of Markov pr…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Reflected solutions of backwa…Pricing American-style securities using simulation (1997)Pricing American-style securi…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods (1996)American Option Valuation: Ne…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Numerical Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Pricing derivatives on graphics processing units using Monte Carlo simulation (2012)Pricing derivatives on graphi…American Options Pricing on Multi-core Graphic Cards (2009)American Options Pricing on M…The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Efficient Analytic Approximation of American Option Values (1987)Randomization and the American Put (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2001)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Regression methods for pricing complex American-style options (2001)Monte Carlo valuation of American options (2002)Measuring Market Risk (2005)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Brownian Motion and Stochastic Calculus (2007)Continuous Martingales and Brownian Motion (1999)Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob–Meyers type (1999)Stochastic Differential Equations (2014)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)Stochastic Calculus with Respect to Gaussian Processes (2001)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Partial Differential Equations (2010)A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)
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References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 1997Reflected solutions of backward SDE's, and related obstacle problems for PDE's704 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1996American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods547 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 1999Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives326 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
  • 2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited
  • 2004On the Malliavin approach to Monte Carlo approximation of conditional expectations81 cited

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  • 2002Variance Reduction Methods for Simulation of Densities on Wiener Space52 cited
  • 2002Parabolic ADI Methods for Pricing American Options on Two Stocks50 cited
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    • 2012Pricing derivatives on graphics processing units using Monte Carlo simulation29 cited
    • 2009American Options Pricing on Multi-core Graphic Cards29 cited