L2-convergence rate for the discretization error of functions of Lévy process

DOI10.1080/17442508.2019.1642338zbMath1491.60062OpenAlexW2962969621MaRDI QIDQ5086496

Takwa Saidaoui, Nien-Lin Liu, Takafumi Amaba, Azmi 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 integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Rate of convergence, degree of approximation (41A25)

Related Items (1)

Higher-order error estimates of the discrete-time Clark-Ocone formula

Cites Work

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• TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• Analysis of Error with Malliavin Calculus: Application to Hedging
• On approximation of a class of stochastic integrals and interpolation
• Discrete time hedging errors for options with irregular payoffs

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