Higher-Order Error Estimates of the Discrete-Time Clark–Ocone Formula

Tsubasa Nishimura (), Kenji Yasutomi () and Tomooki Yuasa ()
Additional contact information
Tsubasa Nishimura: Kojimachi-odori Building 12F
Kenji Yasutomi: Ritsumeikan University
Tomooki Yuasa: Ritsumeikan University

Journal of Theoretical Probability, 2022, vol. 35, issue 4, 2518-2539

Abstract: Abstract In this article, we investigate the convergence rate of the discrete-time Clark–Ocone formula provided by Akahori–Amaba–Okuma (J Theor Probab 30: 932–960, 2017). In that paper, they mainly focus on the $$L_{2}$$ L 2 -convergence rate of the first-order error estimate related to the tracking error of the delta hedge in mathematical finance. Here, as two extensions, we estimate “the higher order error” for Wiener functionals with an integrability index 2 and “an arbitrary differentiability index.”

Keywords: Discrete-time Clark–Ocone formula; Discrete Malliavin calculus; Higher-order error estimates; Primary:; 60H07 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10959-021-01134-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:35:y:2022:i:4:d:10.1007_s10959-021-01134-0

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-021-01134-0

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().