Malliavin differentiability of indicator functions on canonical Lévy spaces

DOI10.1016/j.spl.2018.01.024zbMath1406.60085OpenAlexW2792062269MaRDI QIDQ1640949

Ryoichi Suzuki

Publication date: 14 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.01.024

zbMATH Keywords

Lévy processesMalliavin calculusindicator functionsdigital options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Correction to ``Malliavin differentiability of indicator functions on canonical Lévy spaces

Cites Work

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