Hedging lookback and partial lookback options using Malliavin calculus (Q4541589): Difference between revisions
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| Property / cites work: The Pricing of Options and Corporate Liabilities / rank | |||
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| Property / cites work: A generalized clark representation formula, with application to optimal portfolios / rank | |||
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| Property / cites work: An extension of clark' formula / rank | |||
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Latest revision as of 11:07, 4 June 2024
scientific article; zbMATH DE number 1771980
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging lookback and partial lookback options using Malliavin calculus |
scientific article; zbMATH DE number 1771980 |
Statements
Hedging lookback and partial lookback options using Malliavin calculus (English)
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5 September 2002
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contingent claims
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hedging strategies
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partial lookback options
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Malliavin calculus
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Clark-Ocone formula
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