Research articles
ScienceAsia 48 (2022):ID 823-826 |doi:
10.2306/scienceasia1513-1874..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.
Download PDF
80 Downloads 830 Views
| 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
|
