A note on the hedging of options by Malliavin calculus in a jump-diffusion market (Q1734184)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the hedging of options by Malliavin calculus in a jump-diffusion market |
scientific article |
Statements
A note on the hedging of options by Malliavin calculus in a jump-diffusion market (English)
0 references
22 March 2019
0 references
hedging of option
0 references
locally risk minimizing approach
0 references
Malliavin calculus
0 references
Clark-Ocone formula
0 references
jump-diffusion model
0 references
