离散Bismut公式：部分条件积分和delta套期过程的表示

Q3 Economics, Econometrics and Finance

Risk and Decision Analysis Pub Date : 2021-07-12 DOI:10.3233/rda-202070

Naho Akiyama, Toshihiro Yamada

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引用次数: 0

摘要

本文在离散时间条件下，利用马利文演算方法给出了离散条件分部积分公式。然后引入了非对称随机漫步模型和非对称指数过程的离散Bismut公式。特别地，作为delta的Malliavin导数表示的扩展，得到了delta套期保值过程的一个新的公式，其中条件分部积分公式在证明中起了作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Discrete Bismut formula: Conditional integration by parts and a representation for delta hedging process

The paper gives discrete conditional integration by parts formula using a Malliavin calculus approach in discrete-time setting. Then the discrete Bismut formula is introduced for asymmetric random walk model and asymmetric exponential process. In particular, a new formula for delta hedging process is obtained as an extension of the Malliavin derivative representation of the delta where the conditional integration by parts formula plays a role in the proof.

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来源期刊

Risk and Decision Analysis Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.00

自引率

0.00%

发文量