scientific article

zbMath1414.91372MaRDI QIDQ2813430

Omar Glonti, Omar Purtukhia

Publication date: 24 June 2016

Full work available at URL: http://science.org.ge/old/moambe/8-3/Glonti.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Fubini theoremlocal timehedging problemBachelier modelClark-Ocone representationTrotter-Meyer theorem

Mathematics Subject Classification ID

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

Related Items (3)

Malliavin differentiability of indicator functions on canonical Lévy spaces ⋮ On the stochastic integral representation of Brownian functionals ⋮ Hedging of the European option with nonsmooth payment function

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