Computation of conditional expectation related to pricing American options with localization function under multidimensional J-process

Mohamed Kharrat; Bader Alruwaili

doi:10.2306/scienceasia1513-1874.2022.109

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Computation of conditional expectation related to pricing American options with localization function under multidimensional J-process

Journal article

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Computation of conditional expectation related to pricing American options with localization function under multidimensional J-process

Mohamed Kharrat and Bader Alruwaili

ScienceAsia : journal of the Science Society of Thailand, Vol.48(6), pp.823-826

01/12/2022

DOI: https://doi.org/10.2306/scienceasia1513-1874.2022.109

Abstract

Multidisciplinary Sciences

Science & Technology

Science & Technology - Other Topics

Our basic objective is to introduce a new methodology using the localization function to compute the conditional expectation E(Vt(Xt)|(Xs)) for s < t, where the asset price is generated by the multi-dimensional J-process.

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Title: Computation of conditional expectation related to pricing American options with localization function under multidimensional J-process
Creators - without role: Mohamed Kharrat - Jouf Univ, Coll Sci, Dept Math, POB 2014, Sakaka, Saudi Arabia
Bader Alruwaili - Jouf Univ, Coll Sci, Dept Math, POB 2014, Sakaka, Saudi Arabia
Publication Details: ScienceAsia : journal of the Science Society of Thailand, Vol.48(6), pp.823-826
Publisher: Science Society Thailand
Number of pages: 4
Grant note: Deanship of Scientific Research at Jouf University
Identifiers: 9912841108331
Academic Unit: Al Jouf University
Language: English
Resource Type: Journal article