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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Daveloose, C.; Khedher, A.; Vanmaele, M. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
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. 
Stichworte:
Conditional expectation, Monte Carlo methods, Conditional density method, Malliavin calculus, Pricing, Lévy processes, American option, Reduction of variance 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
submitted paper 
Jahr:
2015 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Leitbild: