Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options
type: Item
instance of: scholarly article
title: Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options
zbMATH Open document ID: 1424.91127
author: Mohamed Kharrat
publication date: 2019-05-02T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 7049970
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: J-law
zbMATH Keywords: J-process
zbMATH Keywords: multidimensional J-process
zbMATH Keywords: conditional expectation
zbMATH Keywords: pricing American option
MaRDI profile type: Publication
full work available at URL: mat-1507-86
OpenAlex ID: W2605319101
cites work: Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Q3007895
cites work: A new closed-form solution as an extension of the Black–Scholes formula allowing smile curve plotting
cites work: Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options
DOI: 10.3906/MAT-1507-86
published in: Turkish Journal of Mathematics
description: scientific article; zbMATH DE number 7049970