Representations for conditional expectations and applications to pricing and hedging of financial products in Levy and jump-diffusion setting
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| Publication date | 2019 |
| Journal | Stochastic Analysis and Applications |
| Volume | Issue number | 37 | 2 |
| Pages (from-to) | 281-319 |
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| Abstract | In this article, we derive expressions for conditional expectations in terms of regular expectations without conditioning but involving some weights. For this purpose, we apply two approaches: the conditional density method and the Malliavin method. We use these expressions for the numerical estimation of the price of American options and their deltas in a Lévy and jump-diffusion setting. Several examples of applications to financial and energy markets are given including numerical examples. |
| Document type | Article |
| Language | English |
| Published at | https://doi.org/10.1080/07362994.2018.1561306 |
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Representations for conditional expectations
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