Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options (Q5219504)
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scientific article; zbMATH DE number 7179636
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| English | Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options |
scientific article; zbMATH DE number 7179636 |
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Conditional expectation determination based on the J-process using Malliavin calculus applied to pricing American options (English)
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12 March 2020
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conditional expectation
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Malliavin calculus
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J-process
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J-law
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American option pricing
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smile curve
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0.8948484659194946
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0.8601112365722656
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0.8410142660140991
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0.7957984209060669
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0.7695846557617188
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