Abstract
In this paper, we establish a discrete-time version of Clark(-Ocone-Haussmann) formula for Poisson functionals. The formula is applied to the estimation of “hedging error”.
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Notes
On the space of all right-continuous functions with left-hand side limits, one can endow so-called the Skorohod topology which is metrizable and makes the space a complete separable metric space. For details, see Billingsley Billingsley (1999), Chapter 5.
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Amaba, T. A Discrete-Time Clark-Ocone Formula for Poisson Functionals. Asia-Pac Financ Markets 21, 97–120 (2014). https://doi.org/10.1007/s10690-013-9178-z
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DOI: https://doi.org/10.1007/s10690-013-9178-z