Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
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Publication:4409042
DOI10.1111/1467-9965.00010zbMath1060.91058OpenAlexW3124291994MaRDI QIDQ4409042
Jakša Cvitanić, Jianfeng Zhang, Jin Ma
Publication date: 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://authors.library.caltech.edu/27128/
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (6)
An asymptotic expansion for forward-backward SDEs: a Malliavin calculus approach ⋮ Weak approximations for Wiener functionals ⋮ Dynamics of solvency risk in life insurance liabilities ⋮ Malliavin Greeks without Malliavin calculus ⋮ Weak approximation of martingale representations ⋮ Monte Carlo methods for derivatives of options with discontinuous payoffs
Cites Work
- Forward-backward stochastic differential equations and their applications
- Monte Carlo methods for security pricing
- Representation theorems for backward stochastic differential equations
- Efficient Monte Carlo simulation of security prices
- Backward Stochastic Differential Equations in Finance
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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