Malliavin differentiability of indicator functions on canonical Lévy spaces
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DOI: 10.1016/j.spl.2018.01.024
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- Takuji Arai & Yuto Imai & Ryoichi Suzuki, 2017. "Local risk-minimization for Barndorff-Nielsen and Shephard models," Finance and Stochastics, Springer, vol. 21(2), pages 551-592, April.
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- Solé, Josep Lluís & Utzet, Frederic & Vives, Josep, 2007. "Canonical Lévy process and Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 117(2), pages 165-187, February.
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Keywords
Malliavin calculus; Lévy processes; Indicator functions; Digital options;All these keywords.
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