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Hedging options: The Malliavin calculus approach versus the Delta-hedging approach

Bermin, Hans-Peter LU (2003) In Mathematical Finance 13(1). p.73-84
Abstract
In this paper we consider a Black and Scholes economy and investigate two approaches to hedging contingent claims. We show that the general Malliavin calculus approach can generate the classical Delta-hedging formula under weaker conditions.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Malliavin calculus, contingent claims, hedging
in
Mathematical Finance
volume
13
issue
1
pages
73 - 84
publisher
Wiley-Blackwell
external identifiers
  • wos:000180794300006
ISSN
1467-9965
DOI
10.1111/1467-9965.t01-1-00006
language
English
LU publication?
yes
id
9dadb84c-ed67-41e6-877d-6d6634e3e47b (old id 319250)
date added to LUP
2007-08-23 08:45:31
date last changed
2016-04-15 19:49:54
@article{9dadb84c-ed67-41e6-877d-6d6634e3e47b,
  abstract     = {In this paper we consider a Black and Scholes economy and investigate two approaches to hedging contingent claims. We show that the general Malliavin calculus approach can generate the classical Delta-hedging formula under weaker conditions.},
  author       = {Bermin, Hans-Peter},
  issn         = {1467-9965},
  keyword      = {Malliavin calculus,contingent claims,hedging},
  language     = {eng},
  number       = {1},
  pages        = {73--84},
  publisher    = {Wiley-Blackwell},
  series       = {Mathematical Finance},
  title        = {Hedging options: The Malliavin calculus approach versus the Delta-hedging approach},
  url          = {http://dx.doi.org/10.1111/1467-9965.t01-1-00006},
  volume       = {13},
  year         = {2003},
}