A Discrete-Time Clark-Ocone Formula for Poisson Functionals

Takafumi Amaba ()

Asia-Pacific Financial Markets, 2014, vol. 21, issue 2, 97-120

Abstract: In this paper, we establish a discrete-time version of Clark(-Ocone-Haussmann) formula for Poisson functionals. The formula is applied to the estimation of “hedging error”. Copyright Springer Japan 2014

Keywords: Discrete-time Clark-Ocone formula; Hedging Error; Stationary Poisson point processes; 60H07; 60F05; 60F15; 60G42 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10690-013-9178-z

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