Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options

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Date
2006Dewey
Probabilités et mathématiques appliquéesSujet
Monte Carlo; Malliavin calculus; quantization; American optionsJournal issue
Computational EconomicsVolume
27Number
4Publication date
2006Article pages
497-531Publisher
SpringerCollections
Metadata
Show full item recordAuthor
Mrad, Moez
Touzi, Nizar
Zeghal, Amina