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

被引：0
|
作者：
R. Farnoosh
M. Bakhshmohammadlou
机构：
[1] Iran University of Science and Technology,Faculty of Mathematics
[2] Narmak,undefined
来源：
Bulletin of the Iranian Mathematical Society | 2019年 / 45卷
关键词：
Hedging of option; Locally risk minimizing approach; Malliavin calculus; Clark–Ocone formula; Jump-diffusion model; Primary 65F05; Secondary 46L05; 11Y50;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：75 / 88
页数：13
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