L^2-convergence rate for the discretization error of functions of Lévy process

DOI10.1080/17442508.2019.1642338zbMATH Open1491.60062OpenAlexW2962969621MaRDI QIDQ5086496FDOQ5086496

Authors: Takafumi Amaba, Nien-Lin Liu, Takwa Saidaoui, A. Makhlouf 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1642338

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zbMATH Keywords

Clark-Ocone formulahedging errordiscrete-time Clark-Ocone formulaSobolev differentiabilitydiscretization error of stochastic integral

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05) Rate of convergence, degree of approximation (41A25)

Cites Work

• A new modified logarithmic Sobolev inequality for Poisson point processes and several applications
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• A note on Malliavin fractional smoothness for Lévy processes and approximation
• Title not available (Why is that?)
• Poisson process Fock space representation, chaos expansion and covariance inequalities
• Interpolation and approximation in \(L_{2}(\gamma )\)
• Tracking errors from discrete hedging in exponential Lévy models
• On approximation of a class of stochastic integrals and interpolation
• Discrete time hedging errors for options with irregular payoffs
• Analysis of Error with Malliavin Calculus: Application to Hedging
• A discrete-time Clark-Ocone formula for Poisson functionals

Cited In (2)

• Higher-order error estimates of the discrete-time Clark-Ocone formula
• Title not available (Why is that?)

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