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 language | English |
|---|---|
| Pages (from-to) | 73-84 |
| Journal | Mathematical Finance |
| Volume | 13 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2003 |
Subject classification (UKÄ)
- Economics
Keywords
- Malliavin calculus
- contingent claims
- hedging