By James Newbury
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Extra info for Applications of Malliavin calculus to the pricing and hedging of Bermudan options
Fourni´e, J-M. Lasry, J. Lebuchoux, P-L. Lions, N. Touzi, Applications of Malliavin calculus to Monte Carlo methods in finance, Finance and Stochastics, Springer-Verlag, pp. 391-412, 1999.  E. Fourni´e, J-M. Lasry, J. Lebuchoux, P-L. Lions, Applications of Malliavin calculus to Monte Carlo methods in finance II, Finance and Stochastics, Springer-Verlag, pp. 201-236, 2001.  P. Friz, An introduction to Malliavin calculus, Courant Institute of Mathematical Sciences, New York University, 2002.
Schwartz, Valuing American options by simulations: a simple least squares approach, The Review of Financial Studies, no 14, pp. 113-148, 2001.  D. Nualart, The Malliavin calulus and related topics, Springer-Verlag, 1995.
In chapter 1, we started by introducing the main Malliavin calculus tools needed in the derivation of the representation formulas for conditional expectation and its derivative. We then introduced these formulas in chapter 2, starting with nonlocalized versions, before moving on to their localized counterparts. In chapter 3, starting from the dynamic programming principle formulation of the problem, we specifically showed how these formulas had to be applied within the context of the pricing and hedging of Bermudan options.
Applications of Malliavin calculus to the pricing and hedging of Bermudan options by James Newbury