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Closed-form expansion, conditional expectation, and option valuation
asymptotic expansion diffusion option pricing conditional expectation iterated stochastic integral
2016/1/20
Enlightened by the theory of Watanabe [Watanabe S (1987) Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels. Ann. Probab. 15:1–39] for analyzing generalized rando...
Computing the Distribution Function of a Conditional Expectation via Monte Carlo: Discrete Conditioning Spaces
Probability algorithms distribution functions conditional expectation
2015/7/8
We examine different ways of numerically computing the distribution function of conditional expectations where the conditioning element takes values in a finite or countably infinite outcome space. Bo...
Stochastic processes with linear conditional expectation and quadratic conditional variance
Stochastic processes linear conditional expectation quadratic conditional variance
2009/9/23
Linear conditional expectations and quadratic conditional
variances determine a class of stochastic processes with
independent increments. Characterizations of the Wiener, Poisson,
gamma, negative ...
ON THE APPROXIMATION OF A RANDOM VARIABLE BY A CONDITIONAL EXPECTATION OF ANOTHER RANDOM VARIABLE
Conditional expectation
2009/9/18
Let X and Y be R-valued random variables on a nonatomic
probability space (8, 5, P). We give conditions under which
Y can be approximated by a conditional expectation of X. In particular,
we prove ...