A general approach to hedging options: Applications to barrier and partial barrier options
(2002) In Mathematical Finance 12(3). p.199-218- Abstract
- In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/334458
- author
- Bermin, Hans-Peter LU
- organization
- publishing date
- 2002
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- barrier options, contingent claims, hedging, Malliavin calculus
- in
- Mathematical Finance
- volume
- 12
- issue
- 3
- pages
- 199 - 218
- publisher
- Wiley-Blackwell
- external identifiers
-
- wos:000176529700003
- scopus:0036021608
- ISSN
- 1467-9965
- DOI
- 10.1111/1467-9965.02007
- language
- English
- LU publication?
- yes
- id
- 49d8843a-03ad-4304-b15d-31dd21d6a6c9 (old id 334458)
- date added to LUP
- 2016-04-01 11:49:54
- date last changed
- 2022-01-26 18:52:28
@article{49d8843a-03ad-4304-b15d-31dd21d6a6c9,
abstract = {{In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options.}},
author = {{Bermin, Hans-Peter}},
issn = {{1467-9965}},
keywords = {{barrier options; contingent claims; hedging; Malliavin calculus}},
language = {{eng}},
number = {{3}},
pages = {{199--218}},
publisher = {{Wiley-Blackwell}},
series = {{Mathematical Finance}},
title = {{A general approach to hedging options: Applications to barrier and partial barrier options}},
url = {{http://dx.doi.org/10.1111/1467-9965.02007}},
doi = {{10.1111/1467-9965.02007}},
volume = {{12}},
year = {{2002}},
}