MALLIAVIN CALCULUS IN CONSTRUCTION OF HEDGING PORTFOLIO FOR THE HESTON MODEL OF A FINANCIAL MARKET

DOI10.1515/DEMA-2001-0225zbMath0978.60063OpenAlexW1014401469MaRDI QIDQ2732368

Łukasz Krajna, Aleksander Janicki

Publication date: 7 October 2001

Published in: Demonstratio Mathematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/dema-2001-0225

zbMATH Keywords

stochastic modelMalliavin derivativeHeston modelfinancial markethedging strategyClark-Ocone-Haussmann formula

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Minimax procedures in statistical decision theory (62C20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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