In this chapter we use white noise calculus to define the Donsker delta function of a Brownian motion. The Donsker delta function of a Brownian motion can be considered the time derivative of local time of a Brownian motion on a distribution space. We aim at employing this concept to determine explicit formulae for replicating portfolios in a Black—Scholes market for a class of contingent claims.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2009 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
(2009). The Donsker Delta Function and Applications. In: Nunno, G.D., Øksendal, B., Proske, F. (eds) Malliavin Calculus for Lévy Processes with Applications to Finance. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-78572-9_7
Download citation
DOI: https://doi.org/10.1007/978-3-540-78572-9_7
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-78571-2
Online ISBN: 978-3-540-78572-9
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)