Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
DOI10.1111/1467-9965.00010zbMATH Open1060.91058OpenAlexW3124291994MaRDI QIDQ4409042FDOQ4409042
Authors: Jakša Cvitanić, Jin Ma, Jianfeng Zhang 
Publication date: 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://authors.library.caltech.edu/27128/
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- Forward-backward stochastic differential equations and their applications
- Backward Stochastic Differential Equations in Finance
- Monte Carlo methods for security pricing
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Representation theorems for backward stochastic differential equations
- Efficient Monte Carlo simulation of security prices
Cited In (11)
- Weak approximations for Wiener functionals
- Dynamics of solvency risk in life insurance liabilities
- An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
- Malliavin Greeks without Malliavin calculus
- Efficient hedging of options with probabilistic Haar wavelets
- Monte Carlo methods for derivatives of options with discontinuous payoffs
- Efficient Computation of Hedging Parameters for Discretely Exercisable Options
- Hedging Large Portfolios of Options in Discrete Time*
- The optimal discretization of probability density functions
- Computing efficient hedging strategies in discontinuous market models
- Weak approximation of martingale representations
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