A Stroock formula for a certain class of Lévy processes and applications to finance (Q2498178)

Summary: We find a Stroock formula in the setting of generalized chaos expansion introduced by \textit{D. Nualart} and \textit{W. Schoutens} [Stochastic Processes Appl. 90, No. 1, 109--122 (2000; Zbl 1047.60088)] for a certain class of Lévy processes, using a Malliavin-type derivative based on the chaotic approach. As applications, we get the chaotic decomposition of the local time of a simple Lévy process as well as the chaotic expansion of the price of a financial asset and of the price of a European call option. We also study the behavior of the tracking error in the discrete delta neutral hedging under both the equivalent martingale measure and the historical probability.