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American options
Items for "American options"
Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
Following the pioneering papers of Fournié, Lasry, Lebouchoux, Lions and Touzi, an important work concerning the applications of the Malliavin calculus in numerical methods for mathematical finance has come after...
Keywords: American options, option pricing and hedging, Malliavin Calculus, Monte Carlo methods
06/2005 | Monte Carlo Methods and Applications, Walter de Gruyter