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On the Malliavin approach to Monte Carlo approximation of conditional expectations

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
2006The Malliavin Calculus and Related Topics2,470 cited
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1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
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2010Regression Methods for Stochastic Control Problems and Their Convergence Analysis55 cited
2010On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights50 cited
2009Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs47 cited
2011Primal and Dual Pricing of Multiple Exercise Options in Continuous Time45 cited
2012Solving Constrained Consumption–Investment Problems by Simulation of Artificial Market Strategies45 cited
2012Numerical Methods in Finance43 cited
2005Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach41 cited
2005Representation formulas for Malliavin derivatives of diffusion processes

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35 cited

2023Numerical methods for backward stochastic differential equations: A survey32 cited

2015Sequential Design for Optimal Stopping Problems31 cited

2009Weak approximations for Wiener functionals26 cited

2019Shapley effect application for variance-based sensitivity analysis of the few-group cross-sections23 cited