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

Bermin, Hans-Peter LU orcid (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
  • scopus:0038612361
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
2016-04-01 12:09:22
date last changed
2025-10-14 09:05:19
@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}},
  keywords     = {{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}},
  doi          = {{10.1111/1467-9965.t01-1-00006}},
  volume       = {{13}},
  year         = {{2003}},
}