A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus (Q4562722)

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scientific article; zbMATH DE number 6994530
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A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
scientific article; zbMATH DE number 6994530

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    A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus (English)
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    18 December 2018
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    mean-variance hedging
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    additive processes
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    Malliavin calculus
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    fast Fourier transform
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