Hedging of European option of integral type

MaRDI QIDQ2813430zbMATH OpenFDO

Authors Omar Glonti, O. Purtukhia

Publication date 24 June 2016

Published in Bulletin of the Georgian National Academy of Sciences. New Series (Search for Journal in Brave)

Full work available at URL http://science.org.ge/old/moambe/8-3/Glonti.pdf

zbMATH Keywords

Bachelier modelClark-Ocone representationFubini theoremhedging problemlocal timeTrotter-Meyer theorem

Mathematics Subject Classification ID

Stochastic integrals (60H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• scientific article; zbMATH DE number 6533160
• Hedging of the European option of the exotic type with a nonsmooth payoff function
• Hedging of the European option with nonsmooth payment function
• Clark's representation of Wiener functionals and hedging of the barrier option
• A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options

Cited in

(10)

• Malliavin differentiability of indicator functions on canonical Lévy spaces
• Hedging of the European option with nonsmooth payment function
• scientific article; zbMATH DE number 6533160 (Why is no real title available?)
• A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
• Hedging of barrier type one European option
• Hedging of the European option of the exotic type with a nonsmooth payoff function
• Clark's representation of Wiener functionals and hedging of the barrier option
• HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS
• On the stochastic integral representation of Brownian functionals
• Constructive martingale representation of non-smooth exponential path-dependent Brownian functionals

This page was built for publication: Hedging of European option of integral type

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2813430)