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

DOI10.1111/1467-9965.02007zbMath1029.91024OpenAlexW2116774149MaRDI QIDQ4795993

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

hedgingMalliavin calculuscontingent claimsbarrier options

Mathematics Subject Classification ID

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

Related Items (6)

Weak approximations for Wiener functionals ⋮ A benchmarking approach to optimal asset allocation for insurers and pension funds ⋮ CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS ⋮ Hedging using simulation: a least squares approach ⋮ Optimal design of equity-linked products with a probabilistic constraint ⋮ PORTFOLIO OPTIMIZATION WITH DOWNSIDE CONSTRAINTS

Cites Work

• Lectures on stochastic differential equations and Malliavin calculus
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• The Malliavin Calculus and Related Topics
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options