A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
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Publication:4562722
DOI10.1080/1350486X.2018.1506259zbMath1418.91592arXiv1702.07556OpenAlexW2888263783WikidataQ115550014 ScholiaQ115550014MaRDI QIDQ4562722
Publication date: 18 December 2018
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1702.07556
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Cites Work
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