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

Research output: Contribution to journalArticle

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.

Details

Authors
  • Hans-Peter Bermin
Organisations
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics

Keywords

  • Malliavin calculus, contingent claims, hedging
Original languageEnglish
Pages (from-to)73-84
JournalMathematical Finance
Volume13
Issue number1
StatePublished - 2003
Publication categoryResearch
Peer-reviewedYes