Pathwise no-arbitrage in a class of delta hedging strategies (Q2296083): Difference between revisions
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Latest revision as of 15:34, 14 September 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pathwise no-arbitrage in a class of delta hedging strategies |
scientific article |
Statements
Pathwise no-arbitrage in a class of delta hedging strategies (English)
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17 February 2020
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pathwise hedging
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exotic options
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pathwise arbitrage
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pathwise Itô calculus
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Föllmer integral
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local volatility
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functional Itô formula
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functional Cauchy problem on path space
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