A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS

DOI10.1142/S021902490100119XMaRDI QIDQ3523591zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

European optionsTaylor formulahedging strategy

Mathematics Subject Classification ID

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Cites work

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

Cited in

(2)

• scientific article; zbMATH DE number 5592540 (Why is no real title available?)
• On pricing formulas and hedging stratagem for European contingent claims with no risk-neutral valuation

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