  Assume a L\'evy process $X$ on the time interval $[0,1]$ that is an
$L_2$-martingale and let $Y$ be either its stochastic exponential or $X$
itself. We consider Riemann-approximations of certain stochastic integrals
driven by $Y$ and relate the $L_2$-approximation rates to the Malliavin
fractional smoothness of the integral to be approximated. The Malliavin
fractional smoothness is described by Besov spaces generated with the real
interpolation method.
