Fractional smoothness and applications in finance

Details Fractional smoothness and applications in finance Fractional smoothness and applications in finance

2010-04-20

arxiv.org/abs/1004.3577v1

Mathematics

Probability

Chapter of AMAMEF book. 20 pages.

Scientific paper

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.

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