American Options by Malliavin Calculus and Nonparametric Variance and Bias Reduction Methods
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
http://epubs.siam.org/doi/pdf/10.1137/11083890X
Reference13 articles.
1. American Options Pricing on Multi-core Graphic Cards
2. High dimensional pricing of exotic European contracts on a GPU Cluster, and comparison to a CPU cluster
3. High order discretization schemes for the CIR process: Application to affine term structure and Heston models
4. Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options
5. Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
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