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

Daveloose, C.; Khedher, A.; Vanmaele, M.

doi:10.1080/07362994.2018.1561306

Khedher, A.

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Title:: Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
Document type:: Zeitschriftenaufsatz
Author(s):: Daveloose, C.; Khedher, A.; Vanmaele, M.
Non-TUM Co-author(s):: ja
Cooperation:: international
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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