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PRICING AMERICAN PUT OPTIONS UNDER STOCHASTIC VOLATILITY USING THE MALLIAVIN DERIVATIVE
Journal article   Open access  Peer reviewed

PRICING AMERICAN PUT OPTIONS UNDER STOCHASTIC VOLATILITY USING THE MALLIAVIN DERIVATIVE

Mohamed Kharrat
Revista de la Unión Matemática Argentina (1968), Vol.60(1), pp.137-147
01/06/2019
DOI: https://doi.org/10.33044/revuma.v60n1a09

Abstract

Mathematics Mathematics, Applied Physical Sciences Science & Technology
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(P-t(X-t, V-t) vertical bar (X-l, V-l)) for any 0 <= l < t, where V-t is generated by the Cox-Ingersoll-Ross (CIR) process. Some simulations and comparisons are given.
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https://doi.org/10.33044/revuma.v60n1a09View
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