Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting

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:: ;
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