A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
DOI10.1111/1467-9965.02007zbMATH Open1029.91024OpenAlexW2116774149MaRDI QIDQ4795993FDOQ4795993
Authors: Hans-Peter Bermin 
Publication date: 1 February 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.02007
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Cites Work
- The Malliavin Calculus and Related Topics
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- Lectures on stochastic differential equations and Malliavin calculus
- Computation of Greeks for barrier and look-back options using Malliavin calculus
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Cited In (17)
- Hedging using simulation: a least squares approach
- Barrier Option Hedging under Constraints: A Viscosity Approach
- Weak approximations for Wiener functionals
- Derivatives of diffusions with applications in finance
- Edokko options: a new framework of barrier options
- A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
- Hedging of European option of integral type
- Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
- PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
- Using the Donsker delta function to compute hedging strategies
- Optimal design of equity-linked products with a probabilistic constraint
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Hedging lookback and partial lookback options using Malliavin calculus
- Static Hedging of Barrier Options with a Smile: An Inverse Problem
- A general framework for hedging and speculating with options
- Anticipative information in a Brownian-Poisson market
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