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

Hans-Peter Bermin

doi:10.1111/1467-9965.t01-1-00006

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

Hans-Peter Bermin

Nationalekonomiska institutionen

Forskningsoutput: Tidskriftsbidrag › Artikel i vetenskaplig tidskrift › Peer review

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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.

Originalspråk	engelska
Sidor (från-till)	73-84
Tidskrift	Mathematical Finance
Volym	13
Nummer	1
DOI	https://doi.org/10.1111/1467-9965.t01-1-00006
Status	Published - 2003

Ämnesklassifikation (UKÄ)

Nationalekonomi

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10.1111/1467-9965.t01-1-00006

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title = "Hedging options: The Malliavin calculus approach versus the Delta-hedging approach",

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.",

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KW - hedging

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DO - 10.1111/1467-9965.t01-1-00006

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

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Ämnesklassifikation (UKÄ)

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