Using the Donsker delta function to compute hedging strategies (Q5935612): Difference between revisions
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Latest revision as of 00:42, 5 March 2024
scientific article; zbMATH DE number 1610717
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Using the Donsker delta function to compute hedging strategies |
scientific article; zbMATH DE number 1610717 |
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Using the Donsker delta function to compute hedging strategies (English)
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2 January 2002
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In a Black-Scholes model with deterministic time-dependent coefficients, this paper derives explicit formulae for hedging strategies for payoffs that are functions of the terminal stock price. The formulae are given in terms of Wick calculus expressions, and the proofs use white noise analysis and the Donsker delta function.
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white noise calculus
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hedging strategies
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Donsker delta function
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Wick product
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