A Discrete-Time Clark-Ocone Formula for Poisson Functionals

Author:

Amaba Takafumi

Publisher

Springer Science and Business Media LLC

Subject

Finance

Reference32 articles.

1. Aase, K., Øksendal, B., Privault, N., & Ubøe, J. (2000). White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance. Finance and Stochastics, 4(4), 465–496.

2. Akahori, J., Amaba, T., & Okuma, K. (2013). A discrete-time Clark-Ocone formula and its application to an error analysis, arXiv:1307.0673, Submitted on 2 July 2013, last revised 30 August 2013.

3. Bertsimas, D., Kogan, L., & Lo, A. W. (2000). When is time continuous? Journal of Financial Economics, 55(2), 173–204.

4. Bichteler, K., Gravereaux, J. B., & Jacod, J. (1987). Malliavin calculus for processes with jumps (p. 161). New York, ix: Gordon and Breach Science Publishers.

5. Billingsley, P. (1999). Convergence of probability measures (2nd ed.). New York: A Wiley-Interscience Publication.

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