Martingale representation for Poisson processes with applications to minimal variance hedging (Q550168)
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scientific article
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| English | Martingale representation for Poisson processes with applications to minimal variance hedging |
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Martingale representation for Poisson processes with applications to minimal variance hedging (English)
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8 July 2011
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Poisson process
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martingale representation
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Clark-Ocone formula
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derivative operator
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Kunita-Watanabe decomposition
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Malliavin calculus
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independent random measure
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minimal variance hedge
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0.7959681749343872
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0.7943569421768188
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0.793954074382782
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0.7920489311218262
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0.7776657342910767
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