A Stroock formula for a certain class of Lévy processes and applications to finance.
Eddahbi, M.; Solé, J.L.; Vives, J.
Journal of Applied Mathematics and Stochastic Analysis (2005)
- Volume: 2005, Issue: 3, page 211-235
- ISSN: 2090-3332
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topEddahbi, M., Solé, J.L., and Vives, J.. "A Stroock formula for a certain class of Lévy processes and applications to finance.." Journal of Applied Mathematics and Stochastic Analysis 2005.3 (2005): 211-235. <http://eudml.org/doc/52727>.
@article{Eddahbi2005,
author = {Eddahbi, M., Solé, J.L., Vives, J.},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {generalized chaos expansion; Malliavin-type derivative; local time; discrete delta neutral hedging},
language = {eng},
number = {3},
pages = {211-235},
publisher = {Hindawi Publishing Corporation, New York},
title = {A Stroock formula for a certain class of Lévy processes and applications to finance.},
url = {http://eudml.org/doc/52727},
volume = {2005},
year = {2005},
}
TY - JOUR
AU - Eddahbi, M.
AU - Solé, J.L.
AU - Vives, J.
TI - A Stroock formula for a certain class of Lévy processes and applications to finance.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2005
PB - Hindawi Publishing Corporation, New York
VL - 2005
IS - 3
SP - 211
EP - 235
LA - eng
KW - generalized chaos expansion; Malliavin-type derivative; local time; discrete delta neutral hedging
UR - http://eudml.org/doc/52727
ER -
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