scientific article; zbMATH DE number 6533160

MaRDI QIDQ3463744zbMATH OpenFDO

Authors

Publication date 20 January 2016

Full work available at URL http://www.rmi.ge/proceedings/volumes/pdf/v168-3.pdf

zbMATH Keywords

Bachelier modelClark stochastic integral representation formulaexotic optionhedging problemWiener functionals

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

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• scientific article; zbMATH DE number 953303

Cited in

(10)

• Hedging of the European option with nonsmooth payment function
• Exotic put options at the diffusion bond market
• Hedging of European option of integral type
• A study of a type of exotic options in the presence of inflow and outflow of capital in the binomial model of the financial (B, S)-market
• Hedging of barrier type one European option
• Hedging of the European option of the exotic type with a nonsmooth payoff function
• Exotic European options with restrictions on the payoffs
• Clark's representation of Wiener functionals and hedging of the barrier option
• HOLDER-EXTENDIBLE EUROPEAN OPTION: CORRECTIONS AND EXTENSIONS
• On martingale representations of non-smooth Brownian functionals

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