Specification of the Malliavin weights under stochastic volatility and stochastic interest rates processes for American option evaluation
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.
Keywords
American option, Stochastic Volatility, Stochastic Interest Rate, Malliavin Calculus.