Correction to “Malliavin differentiability of indicator functions on canonical Lévy spaces” [Statist. Probab. Lett. 137 (2018) 183–190]

Ryoichi Suzuki

Statistics & Probability Letters, 2020, vol. 156, issue C

Abstract: In this note, we correct mistakes concerning Theorem 3.1, Propositions 3.3 and 3.4 in Suzuki (2018).

Keywords: Malliavin calculus; Lévy processes; Indicator functions; Digital options (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108614

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