Revista de la
Unión Matemática Argentina
Pricing American put options under stochastic volatility using the Malliavin derivative
Mohamed Kharrat
Volume 60, no. 1 (2019), pp. 137–147

Download PDF


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.