White Noise Generalization of the Clark-Ocone Formula Under Change of Measure
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Publication:3068105
DOI10.1080/07362994.2010.515498zbMath1215.60038MaRDI QIDQ3068105
Publication date: 13 January 2011
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/11511/63792
60G20: Generalized stochastic processes
60H40: White noise theory
91G20: Derivative securities (option pricing, hedging, etc.)
60H07: Stochastic calculus of variations and the Malliavin calculus
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An extension of the Clark–Haussmann formula and applications, Malliavin differentiability of indicator functions on canonical Lévy spaces
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- White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
- Using the Donsker delta function to compute hedging strategies