Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach

Vlad Bally, Lucia Caramellino, Antonino Zanette. Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. Monte Carlo Meth. and Appl., 11(2):97-133, 2005. [doi]

Authors

Vlad Bally

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Lucia Caramellino

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Antonino Zanette

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