A Discrete-Time Clark-Ocone Formula for Poisson Functionals

In this paper, we establish a discrete-time version of Clark(-Ocone-Haussmann) formula for Poisson functionals. The formula is applied to the estimation of “hedging error”. Copyright Springer Japan 2014

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Year of publication:	2014
Authors:	Amaba, Takafumi
Published in:	Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 21.2014, 2, p. 97-120
Publisher:	Springer
Subject:	Discrete-time Clark-Ocone formula \| Hedging Error \| Stationary Poisson point processes

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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