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.
| Original language | English |
|---|---|
| Pages (from-to) | 199-218 |
| Journal | Mathematical Finance |
| Volume | 12 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 2002 |
Subject classification (UKÄ)
- Economics
Free keywords
- barrier options
- contingent claims
- hedging
- Malliavin calculus