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Malliavin Calculus in Lévy spaces and Applications to Finance.


 
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1. Title Title of document Malliavin Calculus in Lévy spaces and Applications to Finance.
 
2. Creator Author's name, affiliation, country Evangelia Petrou; TU Berlin
 
3. Subject Discipline(s)
 
3. Subject Keyword(s)
 
3. Subject Subject classification 60H07; 60G51
 
4. Description Abstract The main goal of this paper is to generalize the results of Fournie et al. [7] for markets generated by Lévy processes. For this reason we extend the theory of Malliavin calculus to provide the tools that are necessary for the calculation of the sensitivities, such as differentiability results for the solution of a stochastic differential equation.
 
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7. Date (YYYY-MM-DD) 2008-05-08
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/502
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-502
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
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