Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/1467-9965.t01-1-00006/fullpdf
Reference13 articles.
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2. H.P. Bermin(1998 ): Essays on Lookback and Barrier Options-A Malliavin Calculus Approach . Ph.D. thesis , Lund University.
3. H. Follmer, and P. Protter(2000 ): On Ito's Formula for Multidimensional Brownian Motion ,Prob. Theory & Rel. Fields116 , 1 -20 .
4. E. Fournie, J.M. Lasry, P.L. Lions, and N. Touzi(1999 ): An Application of Malliavin Calculus to Monte Carlo Methods in Finance ,Finance Stoch. 3 , 391 -412 .
5. J. M. Harrison, and S. R. Pliska(1981 ): Martingales and Stochastic Integrals in the Theory of Continuous Trading ,Stoch. Process. Appl. 11 , 215 -260 .
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