Fractional smoothness and applications in Finance

Stefan Geiss and Emmanuel Gobet ()
Additional contact information
Stefan Geiss: Department of Mathematics [Innsbruck] - Leopold Franzens Universität Innsbruck - University of Innsbruck
Emmanuel Gobet: MATHFI - Mathématiques financières - LJK - Laboratoire Jean Kuntzmann - UPMF - Université Pierre Mendès France - Grenoble 2 - UJF - Université Joseph Fourier - Grenoble 1 - Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

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.

Keywords: Fractional smoothness; Discrete time hedging; Interpolation (search for similar items in EconPapers)
Date: 2011
Note: View the original document on HAL open archive server: https://hal.science/hal-00474803v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Giulia Di Nunno and Bernt Øksendal. Advanced Mathematical Methods for Finance, Springer, pp.313-331, 2011, 978-3-642-18411-6. ⟨10.1007/978-3-642-18412-3_12⟩

Downloads: (external link)
https://hal.science/hal-00474803v1/document (application/pdf)

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:hal:journl:hal-00474803

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

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().