Hedging lookback and partial lookback options using Malliavin calculus
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Publication:4541589
DOI10.1080/13504860010014052zbMath1020.91019MaRDI QIDQ4541589
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
Malliavin calculus; Clark-Ocone formula; hedging strategies; contingent claims; partial lookback options
91B26: Auctions, bargaining, bidding and selling, and other market models
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