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scientific article; zbMATH DE number 6938282 - MaRDI portal

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zbMath1417.91509MaRDI QIDQ5376405

Hanna Livinska, Omar Purtukhia

Publication date: 17 September 2018

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

zbMATH Keywords

payoff function European option hedging problem stochastic (Malliavin) derivative Clark-Ocone's formula Clark's integral representation formula

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

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