Correction to ``Malliavin differentiability of indicator functions on canonical Lévy spaces

DOI10.1016/j.spl.2019.108614zbMath1453.60106OpenAlexW2972776156MaRDI QIDQ2288764

Ryoichi Suzuki

Publication date: 20 January 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2019.108614

zbMATH Keywords

Lévy processesMalliavin calculusindicator functionsdigital options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Malliavin differentiability of indicator functions on canonical Lévy spaces
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