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

Hans-Peter Bermin

Research output: Contribution to journalArticlepeer-review

5 Citations (SciVal)

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.
Original languageEnglish
Pages (from-to)73-84
JournalMathematical Finance
Volume13
Issue number1
DOIs
Publication statusPublished - 2003

Subject classification (UKÄ)

  • Economics

Keywords

  • Malliavin calculus
  • contingent claims
  • hedging

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