A discrete-time Clark-Ocone formula for Poisson functionals
Takafumi Amaba
| Year of publication: |
2014
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|---|---|
| Authors: | Amaba, Takafumi |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 21.2014, 2, p. 97-120
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| Subject: | Discrete-time Clark-Ocone formula | Hedging error | Stationary Poisson point processes | Stochastischer Prozess | Stochastic process | Hedging | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010358455