Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options

Authors

MOHAMED KHARRAT

DOI

10.3906/mat-1507-86

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

First Page

381

Last Page

386

Recommended Citation

KHARRAT, MOHAMED (2017) "Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options," Turkish Journal of Mathematics: Vol. 41: No. 2, Article 15. https://doi.org/10.3906/mat-1507-86
Available at: https://journals.tubitak.gov.tr/math/vol41/iss2/15