A Note on the Hedging of Options by Malliavin Calculus in a Jump-Diffusion Market

被引：1
|
作者：
Farnoosh, R. [1 ]
Bakhshmohammadlou, M. [1 ]
机构：
[1] Iran Univ Sci & Technol, Fac Math, Tehran 16844, Iran
来源：
BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY | 2019年 / 45卷 / 01期
基金：
美国国家科学基金会;
关键词：
Hedging of option; Locally risk minimizing approach; Malliavin calculus; Clark-Ocone formula; Jump-diffusion model;
D O I：
10.1007/s41980-018-0120-z
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
We study a jump-diffusion market with two settings for the stock price process and expose the capability of Malliavin calculus in generation of the locally risk minimizing portfolio under weaker condition.
引用
收藏
页码：75 / 88
页数：14
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