A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS

DOI10.1142/S021902490100119XzbMATH Open1153.91547OpenAlexW2099229002MaRDI QIDQ3523591FDOQ3523591

Authors: Maria Elvira Mancino 

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902490100119x

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zbMATH Keywords

European optionsTaylor formulahedging strategy

Mathematics Subject Classification ID

Cites Work

• Multiple Wiener integral
• Optimization Problems in the Theory of Continuous Trading
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• A generalized clark representation formula, with application to optimal portfolios
• An extension of clark' formula
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited In (2)

• Title not available (Why is that?)
• On pricing formulas and hedging stratagem for European contingent claims with no risk-neutral valuation

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