Using the Donsker delta function to compute hedging strategies

DOI10.1023/A:1011259820029MaRDI QIDQ5935612zbMATH OpenOpenAlexFDO

Authors Knut Kristian Aase, B. Øksendal, Jan Obøe

Publication date 2 January 2002

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1011259820029

zbMATH Keywords

Wick producthedging strategieswhite noise calculusDonsker delta function

Mathematics Subject Classification ID

White noise theory (60H40)

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Cited in

(24)

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• Prohorov-type local limit theorems on abstract Wiener spaces
• Standardizing densities on Gaussian spaces
• White noise generalization of the Clark-Ocone formula under change of measure
• A financial market with singular drift and no arbitrage
• Mittag-Leffler analysis. I: Construction and characterization
• A Donsker delta functional approach to optimal insider control and applications to finance
• Derivative of the Donsker delta functionals
• Some norm inequalities for Gaussian Wick products
• Conservative delta hedging.
• A class of processes defined in the white noise space through generalized fractional operators
• Optimal insider control of stochastic partial differential equations
• The Donsker delta function and local time for McKean–Vlasov processes and applications
• Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
• ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION
• Generalized Wright analysis in infinite dimensions
• On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
• Optimal investment with insider information using Skorokhod \& Russo-Vallois integration

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