L^2-convergence rate for the discretization error of functions of Lévy process
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\(L^2\)-convergence rate for the discretization error of functions of Lévy process
\(L^2\)-convergence rate for the discretization error of functions of Lévy process
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Cites work
- 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
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- 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
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