Computing, Telecommunication and Control Информатика, телекоммуникации и управление 2687-0517 10 Computation algorithm of arbitrage free price of financial commitment based on up to state sampling of Levy processes Алгоритм расчета безарбитражной цены финансового обязательства на основе дискретизации процессов Леви Belyavsky Grigoriy beliavsky@hotmail.com Niconenko Nataliya nnatd@rambler.ru 10 06 2012 3 150 56 59

The problem of computation of conditional expectation is solved. We use method which is called «Up to state sampling of Levy process» for the approximate solution.

 conditional expectation Levy process the characteristic function up to state sampling of Levy process arbitrage free price of financial commitment