Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus

DOI10.1007/s40096-020-00371-4zbMath1486.60071OpenAlexW3172121428MaRDI QIDQ2119814

Minoo Bakhshmohammadlou, Rahman Farnoosh

Publication date: 30 March 2022

Published in: Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40096-020-00371-4

zbMATH Keywords

Malliavin calculusjump-diffusion stochastic volatility modeljump-diffusion version of the Clark-Ocone formulalocally risk minimizing portfolio

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Jump processes on general state spaces (60J76)

Cites Work

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• The Pricing of Options and Corporate Liabilities
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• Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Financial Modelling with Jump Processes
• Martingale Representation of Functionals of Lévy Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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