Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing

Kharrat, Mohamed; Bastin, Fabian

doi:10.3906/mat-2105-6

Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing (bibtex)

by Mohamed Kharrat and Fabian Bastin

Reference:

Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing (Mohamed Kharrat and Fabian Bastin), In Turkish Journal of Mathematics, 2021.

Bibtex Entry:

@Article{KharBast21,
  author  = {Mohamed Kharrat and Fabian Bastin},
  journal = {Turkish Journal of Mathematics},
  title   = {Continuation value computation using {M}alliavin calculus under general volatility stochastic process for {A}merican option pricing},
  year    = {2021},
  doi     = {10.3906/mat-2105-6},
}