A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options
In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options.
Gespeichert in:
| Autor*in: |
Bermin, Hans-Peter [verfasserIn] |
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| Format: |
E-Artikel |
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| Erschienen: |
Oxford, UK: Blackwell Publishers, Inc., ; 2002 |
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| Schlagwörter: |
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| Umfang: |
Online-Ressource |
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| Reproduktion: |
2003 ; Blackwell Publishing Journal Backfiles 1879-2005 |
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| Übergeordnetes Werk: |
In: Mathematical finance - Oxford [u.a.] : Wiley-Blackwell, 1991, 12(2002), 3, Seite 0 |
| Übergeordnetes Werk: |
volume:12 ; year:2002 ; number:3 ; pages:0 |
| Links: |
|---|
| DOI / URN: |
10.1111/1467-9965.02007 |
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| 520 | |a In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options. | ||
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10.1111/1467-9965.02007 doi (DE-627)NLEJ243593236 DE-627 ger DE-627 rakwb Bermin, Hans-Peter verfasserin aut A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options Oxford, UK Blackwell Publishers, Inc., 2002 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| contingent claims In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 12(2002), 3, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:12 year:2002 number:3 pages:0 http://dx.doi.org/10.1111/1467-9965.02007 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 12 2002 3 0 |
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10.1111/1467-9965.02007 doi (DE-627)NLEJ243593236 DE-627 ger DE-627 rakwb Bermin, Hans-Peter verfasserin aut A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options Oxford, UK Blackwell Publishers, Inc., 2002 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| contingent claims In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 12(2002), 3, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:12 year:2002 number:3 pages:0 http://dx.doi.org/10.1111/1467-9965.02007 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 12 2002 3 0 |
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10.1111/1467-9965.02007 doi (DE-627)NLEJ243593236 DE-627 ger DE-627 rakwb Bermin, Hans-Peter verfasserin aut A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options Oxford, UK Blackwell Publishers, Inc., 2002 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| contingent claims In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 12(2002), 3, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:12 year:2002 number:3 pages:0 http://dx.doi.org/10.1111/1467-9965.02007 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 12 2002 3 0 |
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10.1111/1467-9965.02007 doi (DE-627)NLEJ243593236 DE-627 ger DE-627 rakwb Bermin, Hans-Peter verfasserin aut A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options Oxford, UK Blackwell Publishers, Inc., 2002 Online-Ressource nicht spezifiziert zzz rdacontent nicht spezifiziert z rdamedia nicht spezifiziert zu rdacarrier In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options. 2003 Blackwell Publishing Journal Backfiles 1879-2005 |2003|||||||||| contingent claims In Mathematical finance Oxford [u.a.] : Wiley-Blackwell, 1991 12(2002), 3, Seite 0 Online-Ressource (DE-627)NLEJ243926227 (DE-600)1481288-5 1467-9965 nnns volume:12 year:2002 number:3 pages:0 http://dx.doi.org/10.1111/1467-9965.02007 text/html Verlag Deutschlandweit zugänglich Volltext GBV_USEFLAG_U ZDB-1-DJB GBV_NL_ARTICLE AR 12 2002 3 0 |
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A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options |
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In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options. |
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