A TAYLOR FORMULA TO PRICE AND HEDGE EUROPEAN CONTINGENT CLAIMS
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Publication:3523591
DOI10.1142/S021902490100119XzbMath1153.91547OpenAlexW2099229002MaRDI QIDQ3523591
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902490100119x
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Cites Work
- Multiple Wiener integral
- Malliavin's calculus and stochastic integral representations of functional of diffusion processes†
- A generalized clark representation formula, with application to optimal portfolios
- Optimization Problems in the Theory of Continuous Trading
- An extension of clark' formula
- The Representation of Functionals of Brownian Motion by Stochastic Integrals
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