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- W1968126671 abstract "We prove an Itô–Tanaka formula and existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stochastic integrals as forward-type pathwise integrals introduced by Föllmer and as pathwise generalized Lebesgue–Stieltjes integrals introduced by Zähle. As an application, we illustrate the importance of the Itô–Tanaka formula for pricing and hedging of financial derivatives." @default.
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- W1968126671 date "2014-12-19" @default.
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- W1968126671 title "Pathwise Integrals and Itô–Tanaka Formula for Gaussian Processes" @default.
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- W1968126671 doi "https://doi.org/10.1007/s10959-014-0588-2" @default.
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