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- W2035111294 abstract "We find a Stroock formula in the setting of generalized chaos expansion introduced by Nualart and Schoutens for a certain class of Lévy processes, using a Malliavin-type derivative based on the chaotic approach. As applications, we get the chaotic decomposition of the local time of a simple Lévy process as well as the chaotic expansion of the price of a financial asset and of the price of a European call option. We also study the behavior of the tracking error in the discrete delta neutral hedging under both the equivalent martingale measure and the historical probability." @default.
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- W2035111294 date "2005-01-01" @default.
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- W2035111294 title "A Stroock formula for a certain class of Lévy processes and applications to finance" @default.
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- W2035111294 doi "https://doi.org/10.1155/jamsa.2005.211" @default.
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