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

DOI10.1080/17442508.2019.1642338MaRDI QIDQ5086496zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 43057 (Why is no real title available?)
• A discrete-time Clark-Ocone formula for Poisson functionals
• A new modified logarithmic Sobolev inequality for Poisson point processes and several applications
• A note on Malliavin fractional smoothness for Lévy processes and approximation
• Analysis of Error with Malliavin Calculus: Application to Hedging
• Discrete time hedging errors for options with irregular payoffs
• Interpolation and approximation in \(L_{2}(\gamma )\)
• On approximation of a class of stochastic integrals and interpolation
• Poisson process Fock space representation, chaos expansion and covariance inequalities
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• Tracking errors from discrete hedging in exponential Lévy models

Cited in

(2)

• Higher-order error estimates of the discrete-time Clark-Ocone formula
• scientific article; zbMATH DE number 5234214 (Why is no real title available?)

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