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Pricing American put options under stochastic volatility using the Malliavin derivative
Volume 60, no. 1
(2019),
pp. 137–147
https://doi.org/10.33044/revuma.v60n1a09
Abstract
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 $\mathbb{E}(P_{t}(X_{t},
V_{t})\mid(X_{l},V_{l}))$ for any $ 0\leq l < t$, where $V_{t}$ is generated by the
Cox-Ingersoll-Ross (CIR) process. Some simulations and comparisons are
given.
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Published by the Unión Matemática Argentina |
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