Hedging of the European option with nonsmooth payment function

DOI10.1007/S11253-018-1540-XzbMath1426.91266OpenAlexW2903410228WikidataQ128874947 ScholiaQ128874947MaRDI QIDQ2274555

O. A. Glonti, O. G. Purtukhiya

Publication date: 20 September 2019

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-018-1540-x

zbMATH Keywords

European optionClark stochastic integralhedging scheme

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (1)

On the stochastic integral representation of Brownian functionals

Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• On One Integral Representation of Functionals of Brownian Motion
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• The Malliavin Calculus and Related Topics
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
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