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- W2950077150 abstract "An explicit martingale representation for random variables described as a functional of a Levy process will be given. The Clark-Ocone theorem shows that integrands appeared in a martingale representation are given by conditional expectations of Malliavin derivatives. Our goal is to extend it to random variables which are not Malliavin differentiable. To this end, we make use of Ito's formula, instead of Malliavin calculus. As an application to mathematical finance, we shall give an explicit representation of locally risk-minimizing strategy of digital options for exponential Levy models. Since the payoff of digital options is described by an indicator function, we also discuss the Malliavin differentiability of indicator functions with respect to Levy processes." @default.
- W2950077150 created "2019-06-27" @default.
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- W2950077150 date "2021-10-25" @default.
- W2950077150 modified "2023-10-16" @default.
- W2950077150 title "A Clark-Ocone Type Formula via Itô Calculus and its Application to Finance" @default.
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- W2950077150 doi "https://doi.org/10.31390/josa.2.4.05" @default.
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