Dyson type formula for pure jump Lévy processes with some applications to finance

DOI10.1016/j.spa.2019.03.019zbMath1443.60057OpenAlexW2935462310MaRDI QIDQ2289812

Josep Vives, Henry Schellhorn, Sixian Jin

Publication date: 24 January 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2019.03.019

zbMATH Keywords

Lévy processesMalliavin calculusClark-Ocone formulabackward Taylor expansionDyson type formula

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Jump processes on discrete state spaces (60J74)

Cites Work

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