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Volume 48 Number 5
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Research articles

ScienceAsia 48 (2022): 823-826 |doi: 10.2306/scienceasia1513-1874.2022.109

Computation of conditional expectation related to pricing American options with localization function under multidimensional J-process

Mohamed Kharrata,*, Bader Alruwailia

ABSTRACT:     Our basic objective is to introduce a new methodology using the localization function to compute the conditional expectation E(Vt (Xt )|(Xs )) for s ? t, where the asset price is generated by the multi-dimensional J-process.

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a Department of Mathematics, College of Science, Jouf University, P.O. Box 2014, Sakaka, Saudi Arabia

* Corresponding author, E-mail: mkharrat@ju.edu.sa

Received 25 Aug 2021, Accepted 22 Feb 2022