Deratives of Diffusions with Applications in Finance

• Autorzy: Banek T.
• Języki publikacji: EN

Abstrakty

EN

Using the Isobe-Sato formula we identify deratives of the random variable [formula], where [formula] is a diffusion given by some SDE. It appears that the derative is propagated by a system of linear ODE's driven by some functionals of the sample [formula]. This leads to a new integral representation of the kernels of chaos expansion which is used for hedging of a given contingent claim by a self-financing portfolio.

Słowa kluczowe

EN

Mallavian calculus; derative operators; chaos expansion; diffusions processes

• Wydawca: Polska Akademia Nauk, Wydział IV Nauk Technicznych
• Czasopismo: Bulletin of the Polish Academy of Sciences. Technical Sciences
• Rocznik: 2003
• Tom: Vol. 51, nr 3
• Strony: 259--277
• Opis fizyczny: bibliogr. 15 poz.

Twórcy

autor

Banek T.

• Technical University of Lublin, Faculty of Management, Department of Operations Research, Nadbystrzycka 38, 20-618 Lublin, Poland (Politechnika Lubelska, Wydział Zarządzania i Podstaw Techniki, Katedra Badań Operacyjnych)

Bibliografia

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