Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs

DOI10.1111/1467-9965.00010MaRDI QIDQ4409042zbMATH OpenOpenAlexFDO

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/

zbMATH Keywords

Malliavin calculusMonte Carlo methods

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Backward Stochastic Differential Equations in Finance
• Efficient Monte Carlo simulation of security prices
• Forward-backward stochastic differential equations and their applications
• Monte Carlo methods for security pricing
• Representation theorems for backward stochastic differential equations

Cited in

(11)

• An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach
• Malliavin Greeks without Malliavin calculus
• Hedging Large Portfolios of Options in Discrete Time*
• Efficient hedging of options with probabilistic Haar wavelets
• Dynamics of solvency risk in life insurance liabilities
• Weak approximation of martingale representations
• Monte Carlo methods for derivatives of options with discontinuous payoffs
• The optimal discretization of probability density functions
• Computing efficient hedging strategies in discontinuous market models
• Efficient Computation of Hedging Parameters for Discretely Exercisable Options
• Weak approximations for Wiener functionals

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