Abstract
AbstractThis overview article concerns the notion of fractional smoothness of random variables of the form g(X T ), where X=(X t ) t∈[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.KeywordsFractional smoothnessDiscrete time hedgingInterpolationMathematics Subject Classification (2010)41A2546B7060H0560H07
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