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.
引用
收藏
页码：75 / 88
页数：13
相关论文
共 50 条
  • [21] Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach
    Bally, Vlad
    Caramellino, Lucia
    Zanette, Antonino
    [J]. MONTE CARLO METHODS AND APPLICATIONS, 2005, 11 (02): : 97 - 133
  • [22] Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
    Zhaojun Yang
    Christian-Oliver Ewald
    Olaf Menkens
    [J]. Mathematical Methods of Operations Research, 2011, 74
  • [23] Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
    Yang, Zhaojun
    Ewald, Christian-Oliver
    Menkens, Olaf
    [J]. MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2011, 74 (01) : 93 - 120
  • [24] Continuity Correction for Barrier Options in Jump-Diffusion Models
    Dia, El Hadj Aly
    Lamberton, Damien
    [J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2011, 2 (01): : 866 - 900
  • [25] Approximate basket options valuation for a jump-diffusion model
    Xu, Guoping
    Zheng, Harry
    [J]. INSURANCE MATHEMATICS & ECONOMICS, 2009, 45 (02): : 188 - 194
  • [26] Pricing American exchange options in a jump-diffusion model
    Lindset, Snorre
    [J]. JOURNAL OF FUTURES MARKETS, 2007, 27 (03) : 257 - 273
  • [27] Pricing options in jump-diffusion models: An extrapolation approach
    Feng, Liming
    Linetsky, Vadim
    [J]. OPERATIONS RESEARCH, 2008, 56 (02) : 304 - 325
  • [28] Analytical valuation of American options on jump-diffusion processes
    Gukhal, CR
    [J]. MATHEMATICAL FINANCE, 2001, 11 (01) : 97 - 115
  • [29] Free boundary and American options in a jump-diffusion model
    Yang Chengrong
    Jiang Lishang
    Bian Baojun
    [J]. EUROPEAN JOURNAL OF APPLIED MATHEMATICS, 2006, 17 : 95 - 127
  • [30] Analysis of error with Malliavin calculus: Application to hedging
    Temam, E
    [J]. MATHEMATICAL FINANCE, 2003, 13 (01) : 201 - 214
12345