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American Option Pricing Using Malliavin Calculus


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  • Product Description

The Malliavin calculus is an especially promising tool for solving the pricing problem of American options under a constant volatility, and also when the volatility is stochastic. Using the Malliavin calculus, the aim of this work consisted computing the conditional expectation, related to the solution of the pricing problem of the American option, for the uni and bi-dimensional model, as a suitable ratio of ordinal expectations. The estimation of this ratio became possible by using the Monte Carlo simulations.

Product Specifications
SKU :COC76329
AuthorMohamed Kharrat
Number of Pages108
Publishing Year2014-09-19T00:00:00.000
Edition1 st
Book TypeStochastics
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-10-08 00:00:00
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