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Showing 1 to 1 of 1 for “"Clark-Ocone theorem"”.
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Malliavin Calculus in the Canonical Levy Process: White Noise Theory and Financial Applications.
… integrable random variable. Then, we showed a Clark-Ocone theorem in L^2(P) and under the change of measure. The result from the Clark-Ocone theorem was used for the mean-variance hedging problem and applied it to stochastic volatility models such as the Barndorff-Nielsen and Shepard model …