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Turkish Journal of Mathematics

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

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Mathematics Commons

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