Fractional Smoothness and Applications in Finance

DOI10.1007/978-3-642-18412-3_12zbMath1236.91132arXiv1004.3577OpenAlexW2951854295MaRDI QIDQ5198565

Stefan Geiss, Emmanuel Gobet

Publication date: 8 August 2011

Published in: Advanced Mathematical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1004.3577

zbMATH Keywords

interpolationdiscrete time hedgingfractional smoothness

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Interpolation between normed linear spaces (46B70) Rate of convergence, degree of approximation (41A25) Portfolio theory (91G10)

Related Items (3)

Backward stochastic differential equations with non-Markovian singular terminal values ⋮ Weak rate of convergence of the Euler-Maruyama scheme for stochastic differential equations with non-regular drift ⋮ Almost sure optimal hedging strategy

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