American option with malliavin

Bomba · January 7th, 2003, 3:08 pm

Hi,I'm currently trying to implement the malliavin approach to compute american option prices and the results seem very bad. Did someone try this ?Happy new year btw.bomba

mbacke · July 27th, 2003, 6:24 pm

what is mallivian about. are you implementing it in matlab?

tomtom · August 1st, 2003, 7:51 am

Hi guys,Could you please tell me which paper are you refering?Also could you show/send me the code/implementation, if possible?Thanks in advance,tomtom

alyukov · August 1st, 2003, 2:58 pm

QuoteOriginally posted by: BombaHi,I'm currently trying to implement the malliavin approach to compute american option prices and the results seem very bad. Did someone try this ?Happy new year btw.bombaWhat does "bad" mean for you?How many MC path do you run?

alyukov · August 1st, 2003, 2:59 pm

oops!Why should smbody bring up so old thread?

tomtom · August 1st, 2003, 3:12 pm

QuoteOriginally posted by: alyukovoops!Why should smbody bring up so old thread?Because I'm taking off so that it's first time to visit here this week.

chiral3 · August 1st, 2003, 4:48 pm

This thread gave me a bad headache. Maybe an understanding of the Maliiavin Calculus is a bit much, eh? Never mind Hilbert spaces, but Sobelov - don't get Newton started.. If you really want papers, PM me and I will get you some that I have on my home machine.

N · August 2nd, 2003, 12:02 am

C3,I wonder if anyone else has spent the time to get the general solution for Langevin on a manifold?You can find the exact american option price by looking at the part of the stochastic flow (the tangent vector bundle) that's hitting a boundary. N