Hedging lookback and partial lookback options using Malliavin calculus

DOI10.1080/13504860010014052zbMath1020.91019OpenAlexW2083771704MaRDI QIDQ4541589

Hans-Peter Bermin

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860010014052

zbMATH Keywords

Malliavin calculusClark-Ocone formulahedging strategiescontingent claimspartial lookback options

Mathematics Subject Classification ID

Related Items (7)

Hedging portfolio for a market model of degenerate diffusions ⋮ Pricing equity-indexed annuities with path-dependent options. ⋮ Pricing Lookback Options and Dynamic Guarantees ⋮ Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging ⋮ Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options ⋮ PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS ⋮ Barrier options and their static hedges: simple derivations and extensions

Cites Work

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• The Pricing of Options and Corporate Liabilities
• A generalized clark representation formula, with application to optimal portfolios
• An extension of clark' formula

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