scientific article

zbMath1403.91341MaRDI QIDQ3463744

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Publication date: 20 January 2016

Full work available at URL: http://www.rmi.ge/proceedings/volumes/pdf/v168-3.pdf

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zbMATH Keywords

Wiener functionalsexotic optionhedging problemBachelier modelClark stochastic integral representation formula

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Hedging of the European option with nonsmooth payment function

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