Pricing American put options under stochastic volatility using the Malliavin derivative

• Mohamed Kharrat ^[1]
  1. [1] Al Jouf University

     Al Jouf University

     Arabia Saudí

     
• Localización: Revista de la Unión Matemática Argentina, ISSN 0041-6932, ISSN-e 1669-9637, Vol. 60, Nº. 1, 2019, págs. 137-147
• Idioma: inglés
• DOI: 10.33044/revuma.v60n1a09
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• Resumen

  • The aim of this paper is to develop a methodology based on Malliavin calculus, in order to price American options under stochastic volatility. This leads to compute the conditional expectation E(Pt(Xt,Vt)∣(Xl,Vl)) for any 0≤l