A general approach to hedging options: Applications to barrier and partial barrier options
Research output: Contribution to journal › Article
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.
|Research areas and keywords||
Subject classification (UKÄ) – MANDATORY
|Publication status||Published - 2002|