Fractional smoothness and applications in finance

Stefan Geiss and Emmanuel Gobet

Papers from arXiv.org

Abstract: This overview article concerns the notion of fractional smoothness of random variables of the form $g(X_T)$, where $X=(X_t)_{t\in [0,T]}$ 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.

Date: 2010-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1004.3577

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