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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:
Stochastic Analysis and Applications
Journal listet in FT50 ranking:
nein
Year:
2015
Language:
en
Fulltext / DOI:
doi:10.1080/07362994.2018.1561306
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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