Fractional Smoothness and Applications in Finance

Stefan Geiss () and Emmanuel Gobet ()
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Stefan Geiss: University of Innsbruck, Department of Mathematics
Emmanuel Gobet: Université de Grenoble and CNRS, Laboratoire Jean Kuntzmann

Chapter Chapter 12 in Advanced Mathematical Methods for Finance, 2011, pp 313-331 from Springer

Abstract: Abstract This overview article concerns the notion of fractional smoothness of random variables of the form g(X T ), where X=(X t ) t∈[0,T] is a certain diffusion process. We review the connection to the real interpolation theory, give examples and applications of this concept. The applications in stochastic finance mainly concern the analysis of discrete-time hedging errors. We close the review by indicating some further developments.

Keywords: Fractional smoothness; Discrete time hedging; Interpolation; 41A25; 46B70; 60H05; 60H07 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-18412-3_12

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DOI: 10.1007/978-3-642-18412-3_12

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