Analysis of Error with Malliavin Calculus: Application to Hedging

DOI10.1111/1467-9965.00014zbMath1056.91035MaRDI QIDQ4409046

Emmanuel Temam

Publication date: 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00014

zbMATH Keywords

Malliavin calculus; discrete time hedging

Mathematics Subject Classification ID

60H07: Stochastic calculus of variations and the Malliavin calculus

91B82: Statistical methods; economic indices and measures

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Cites Work

• Limit distributions for the error in approximations of stochastic integrals
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