Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus (Q2119814)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus |
scientific article |
Statements
Hedging of options for jump-diffusion stochastic volatility models by Malliavin calculus (English)
0 references
30 March 2022
0 references
jump-diffusion stochastic volatility model
0 references
locally risk minimizing portfolio
0 references
Malliavin calculus
0 references
jump-diffusion version of the Clark-Ocone formula
0 references
0 references
0 references
