Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting (Q5742555)
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scientific article; zbMATH DE number 7054775
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting |
scientific article; zbMATH DE number 7054775 |
Statements
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting (English)
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15 May 2019
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conditional expectation
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Monte Carlo methods
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conditional density method
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Malliavin calculus
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pricing
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Lévy processes
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American option
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reduction of variance
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