Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options
DOI10.3906/MAT-1507-86zbMath1424.91127OpenAlexW2605319101MaRDI QIDQ4633275
Publication date: 2 May 2019
Published in: TURKISH JOURNAL OF MATHEMATICS (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3906/mat-1507-86
Malliavin calculusconditional expectationpricing American optionJ-lawJ-processmultidimensional J-process
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Cites Work
- A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting
- Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
- Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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