PRICING AMERICAN PUT OPTIONS USING MALLIAVIN CALCULUS WITH OPTIMAL LOCALIZATION FUNCTION

被引：1

作者：

Kharrat, Mohamed ^{[1
]}

机构：

[1] Jouf Univ, Coll Sci, Math Dept, POB 2014, Sakaka, Saudi Arabia

来源：

COMPTES RENDUS DE L ACADEMIE BULGARE DES SCIENCES | 2021年 / 74卷 / 10期

关键词：

Malliavin calculus; localization function; J-process; American option pricing;

D O I：

10.7546/CRABS.2021.10.04

中图分类号：

O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

In order to calculate this conditional expectations E(P-t(S-t) vertical bar (S-s)) for s <= t, in this paper we develop a methodology under the Malliavin calculus using localization function. The introduction of the above process ensures kurtosis and skewness effects, i.e. smile curve, that can be adapted to the realities of the financial market.

引用

页码：1453 / 1460

页数：8

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