Risk and Decision Analysis
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Published By Ios Press

1875-9173, 1569-7371

2021 ◽  
pp. 1-9
Author(s):  
Naho Akiyama ◽  
Toshihiro Yamada

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.


2020 ◽  
Vol 8 (1-2) ◽  
pp. 1-13
Author(s):  
Dennis Arku ◽  
Kwabena Doku-Amponsah ◽  
Nathaniel K. Howard

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