Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus (Q2119814)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus |
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Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus (English)
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30 March 2022
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jump-diffusion stochastic volatility model
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locally risk minimizing portfolio
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Malliavin calculus
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jump-diffusion version of the Clark-Ocone formula
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