- Turkish Journal of Mathematics
- Vol: 41 Issue: 2
- Computation of conditional expectation based on the multidimensional J-process using Malliavin calcu...
Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options
Authors : Mohamed Kharrat
Pages : 381-386
View : 7 | Download : 4
Publication Date : 9999-12-31
Article Type : Makaleler
Abstract :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 $\mathbb{E}(P_{t}(X_{t})|(X_{s}))$ for $0 \leq s \leq t$, where the only state variable follows a multidimensional J-process.Keywords : Malliavin calculus, J-law, J-process, multidimensional J-process, conditional expectation, pricing American option