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Méthodes de Monte-Carlo en finance

Author

Listed:
  • O. Senhadji El Rhazi

    (UPMC - Université Pierre et Marie Curie - Paris 6)

  • Wassim Mneja

    (UPMC - Université Pierre et Marie Curie - Paris 6)

  • Abdelaziz Saoudi

    (UPMC - Université Pierre et Marie Curie - Paris 6)

Abstract

Le but de ce rapport est de produire une valorisation des options américaine à l'aide du calcul de Malliavin. D'abord en discrétisant l'EDP du prix dérivatif. Le calcul de Malliavin et la réduction de variance permettent ensuite une résolution dynamique à l'aide d'un programme en Visual Basic.

Suggested Citation

  • O. Senhadji El Rhazi & Wassim Mneja & Abdelaziz Saoudi, 2004. "Méthodes de Monte-Carlo en finance," Working Papers hal-01384336, HAL.
    • Handle: RePEc:hal:wpaper:hal-01384336
    Note: View the original document on HAL open archive server: https://hal.science/hal-01384336
    as

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