On some expectation and derivative operators related to integral representations of random variables with respect to a PII process (Q4916404)
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scientific article; zbMATH DE number 6156470
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| English | On some expectation and derivative operators related to integral representations of random variables with respect to a PII process |
scientific article; zbMATH DE number 6156470 |
Statements
On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process (English)
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22 April 2013
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Kunita-Watanabe decomposition
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Föllmer-Schweizer decomposition
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mean-variance hedging
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processes with independent increments
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Fourier transforms
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characteristic function
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0.6946449875831604
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0.6939685940742493
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0.6909467577934265
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0.6898812055587769
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