Specication of the Malliavin weights under stochastic volatility and stochastic interest rates processes for American option evaluation

Mohamed Kharrat

Abstract


In this paper, using the Malliavin calculus, we compute the conditional expectation related to the pricing problem of an American put option through considering the
volatility and the interest rates, both stochastic and generated by the Cox-Ingersoll-Ross process.


Refbacks

  • There are currently no refbacks.