A note on the hedging of options by Malliavin calculus in a jump-diffusion market

DOI10.1007/s41980-018-0120-zzbMath1409.91233OpenAlexW2784815222MaRDI QIDQ1734184

Rahman Farnoosh, Minoo Bakhshmohammadlou

Publication date: 22 March 2019

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s41980-018-0120-z

zbMATH Keywords

Malliavin calculusClark-Ocone formulajump-diffusion modelhedging of optionlocally risk minimizing approach

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• Malliavin calculus in Lévy spaces and applications to finance.
• Option hedging for semimartingales
• Poisson calculus for spatial neutral to the right processes
• Bayesian Poisson process partition calculus with an application to Bayesian Lévy moving averages
• A generalized clark representation formula, with application to optimal portfolios
• An extension of the Clark–Ocone formula under benchmark measure for Lévy processes
• Financial Modelling with Jump Processes
• Martingale Representation of Functionals of Lévy Processes
• The Variance Gamma Process and Option Pricing

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