A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options

DOI10.1111/1467-9965.02007MaRDI QIDQ4795993zbMATHOpenAlexFDO

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

zbMATH Keywords

Malliavin calculuscontingent claimshedgingbarrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1223661 (Why is no real title available?)
• scientific article; zbMATH DE number 503115 (Why is no real title available?)
• Analysis for the Agrégration in mathematics. 40 developments
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• Lectures on stochastic differential equations and Malliavin calculus
• The Malliavin Calculus and Related Topics

Cited in

(19)

• Hedging using simulation: a least squares approach
• A general framework for hedging and speculating with options
• Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus
• Hedging lookback and partial lookback options using Malliavin calculus
• Anticipative information in a Brownian-Poisson market
• Edokko options: a new framework of barrier options
• Static Hedging of Barrier Options with a Smile: An Inverse Problem
• Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
• Using the Donsker delta function to compute hedging strategies
• PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS
• Optimal design of equity-linked products with a probabilistic constraint
• A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
• Barrier Option Hedging under Constraints: A Viscosity Approach
• A benchmarking approach to optimal asset allocation for insurers and pension funds
• Weak approximations for Wiener functionals
• Hedging of European option of integral type
• Hedging lookback-barrier option by Malliavin calculus in a mixed fractional Brownian motion environment
• CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
• Derivatives of diffusions with applications in finance

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