An extension of the Clark–Ocone formula under benchmark measure for Lévy processes
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Publication:4648586
DOI10.1080/17442508.2010.542817zbMath1262.60050OpenAlexW1979793306MaRDI QIDQ4648586
Publication date: 9 November 2012
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2010.542817
Processes with independent increments; Lévy processes (60G51) Generalized stochastic processes (60G20) White noise theory (60H40) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (2)
Malliavin differentiability of indicator functions on canonical Lévy spaces ⋮ A note on the hedging of options by Malliavin calculus in a jump-diffusion market
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