Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options

Moez Mrad (), Nizar Touzi () and Amina Zeghal ()

Computational Economics, 2006, vol. 27, issue 4, 497-531

Keywords: Monte Carlo; Malliavin calculus; quantization; American options (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10614-005-9005-3

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