Computation of conditional expectation based on the multidimensional J-process using Malliavin calculus related to pricing American options

Authors: MOHAMED KHARRAT

Abstract: In this work, we extend the uni-dimensional results, already found by Jerbi and Kharrat, for the multidimensional case: we compute the Malliavin weights related to the conditional expectation $\mathbb{E}(P_{t}(X_{t})|(X_{s}))$ for $0 \leq s \leq t$, where the only state variable follows a multidimensional J-process.

Keywords: Malliavin calculus, J-law, J-process, multidimensional J-process, conditional expectation, pricing American option

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