Hedging options: The Malliavin calculus approach versus the Delta-hedging approach
(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:
https://lup.lub.lu.se/record/319250
- author
- Bermin, Hans-Peter LU
- organization
- publishing date
- 2003
- 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
- 2022-01-26 23:36:20
@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}}, }