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Fractional Smoothness and Applications in Finance by Geiss, Stefan; Gobet, Emmanuel is a scholarly article available to read on EtoBox.

What is Fractional Smoothness and Applications in Finance about?

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.

Author

Geiss, Stefan; Gobet, Emmanuel

Published

2010

Language

EN