Akahori, Jirô; Amaba, Takafumi; Okuma, Kaori A discrete-time Clark-Ocone formula and its application to an error analysis. (English) Zbl 1390.60195 J. Theor. Probab. 30, No. 3, 932-960 (2017). Reviewer: Nicolas Privault (Singapore) MSC: 60H07 60F05 60G42 PDFBibTeX XMLCite \textit{J. Akahori} et al., J. Theor. Probab. 30, No. 3, 932--960 (2017; Zbl 1390.60195) Full Text: DOI arXiv
Akahori, Jirô; Amaba, Takafumi; Okuma, Kaori Some simulation results on the computation of delta of path-dependent options using a discrete version of Clark-Ocone formula. (English) Zbl 1239.91178 Proceedings of the 42nd ISCIE international symposium on stochastic systems theory and its applications, Okayama, Japan, November 26–27, 2010. Kyoto: The Institute of Systems, Control and Information Engineers (ISCIE) (ISBN 978-4-915740-52-7). 121-126 (2011). MSC: 91G60 65C20 PDFBibTeX XMLCite \textit{J. Akahori} et al., in: Proceedings of the 42nd ISCIE international symposium on stochastic systems theory and its applications, Okayama, Japan, November 26--27, 2010. Kyoto: The Institute of Systems, Control and Information Engineers (ISCIE). 121--126 (2011; Zbl 1239.91178)