Using the Donsker delta function to compute hedging strategies
From MaRDI portal
In a Black-Scholes model with deterministic time-dependent coefficients, this paper derives explicit formulae for hedging strategies for payoffs that are functions of the terminal stock price. The formulae are given in terms of Wick calculus expressions, and the proofs use white noise analysis and the Donsker delta function.
Recommendations
- scientific article; zbMATH DE number 5606168
- Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
- Hedging lookback and partial lookback options using Malliavin calculus
- A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
- Computing deltas without derivatives
Cited in
(24)- Prohorov-type local limit theorems on abstract Wiener spaces
- Standardizing densities on Gaussian spaces
- Conservative delta hedging.
- A financial market with singular drift and no arbitrage
- Mittag-Leffler analysis. I: Construction and characterization
- Optimal insider control and semimartingale decompositions under enlargement of filtration
- White noise generalization of the Clark-Ocone formula under change of measure
- Some norm inequalities for Gaussian Wick products
- Weak approximations for Wiener functionals
- Functions of bounded variation on the classical Wiener space and an extended Ocone-Karatzas formula
- Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
- Optimal insider control of stochastic partial differential equations
- CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
- ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION
- Viable insider markets
- On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
- Derivative of the Donsker delta functionals
- scientific article; zbMATH DE number 5234243 (Why is no real title available?)
- Space-Time Stochastic Calculus and White Noise
- A class of processes defined in the white noise space through generalized fractional operators
- The Donsker delta function and local time for McKean–Vlasov processes and applications
- Generalized Wright analysis in infinite dimensions
- Optimal investment with insider information using Skorokhod \& Russo-Vallois integration
- A Donsker delta functional approach to optimal insider control and applications to finance
This page was built for publication: Using the Donsker delta function to compute hedging strategies
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5935612)
