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Document type:
Zeitschriftenaufsatz 
Author(s):
Daveloose, C.; Khedher, A.; Vanmaele, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting 
Abstract:
In this paper, 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. 
Keywords:
Conditional expectation, Monte Carlo methods, Conditional density method, Malliavin calculus, Pricing, Lévy processes, American option, Reduction of variance 
Intellectual Contribution:
Discipline-based Research 
Journal title:
submitted paper 
Year:
2015 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Mission statement:
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