Hedging options: The Malliavin calculus approach versus the Delta-hedging approach
Research output: Contribution to journal › Article
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.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|State||Published - 2003|