A general approach to hedging options: Applications to barrier and partial barrier options

Hans-Peter Bermin

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskriftPeer review

6 Citeringar (SciVal)

Sammanfattning

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.
Originalspråkengelska
Sidor (från-till)199-218
TidskriftMathematical Finance
Volym12
Utgåva3
DOI
StatusPublished - 2002

Ämnesklassifikation (UKÄ)

  • Nationalekonomi

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