Sign in
Back
Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options
Journal article   Peer reviewed

Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options

Mohamed Kharrat
Turkish journal of mathematics, Vol.41(2), pp.381-386
01/01/2017
DOI: https://doi.org/10.3906/mat-1507-86

Abstract

Mathematics Physical Sciences Science & Technology
In this work, we extend the uni-dimensional results, already found by Jerbi and Kharrat, for the multidimensional case: we compute the Malliavin weights related to the conditional expectation E(P-t(X-t)vertical bar(X-s)) for 0 <= s <= t, where the only state variable follows a multidimensional J-process.

Metrics

1 Record Views

Details