On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process
From MaRDI portal
Publication:4916404
DOI10.1080/07362994.2013.741395zbMath1288.60058arXiv1202.0619MaRDI QIDQ4916404
Nadia Oudjane, Francesco Russo, Stéphane Goutte
Publication date: 22 April 2013
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.0619
Fourier transforms; characteristic function; mean-variance hedging; processes with independent increments; Föllmer-Schweizer decomposition; Kunita-Watanabe decomposition
60G51: Processes with independent increments; Lévy processes
91G20: Derivative securities (option pricing, hedging, etc.)
60H05: Stochastic integrals
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