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Stochastic Analysis and Applications Volume 37, 2019 - Issue 2

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

Catherine DavelooseDepartment of Applied Mathematics, Computer Science and Statistics, Ghent University, Gent, Belgium; View further author information

Asma KhedherKorteweg-de Vries Institute for Mathematics, University of Amsterdam, Amsterdam, The NetherlandsCorrespondence[email protected]
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Michèle VanmaeleDepartment of Applied Mathematics, Computer Science and Statistics, Ghent University, Gent, Belgium; View further author information

Pages 281-319 | Received 02 Nov 2016, Accepted 06 Dec 2018, Published online: 19 Mar 2019

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https://doi.org/10.1080/07362994.2018.1561306
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Yi Zhou, Michael C. Fu & Ilya O. Ryzhov. (2022) Policy Evaluation with Stochastic Gradient Estimation Techniques. Policy Evaluation with Stochastic Gradient Estimation Techniques.

Yi Zhou, Michael C. Fu & Ilya O. Ryzhov. (2021) Estimating a Conditional Expectation with the Generalized Likelihood Ratio Method. Estimating a Conditional Expectation with the Generalized Likelihood Ratio Method.

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