Hedging portfolio for a market model of degenerate diffusions
From MaRDI portal
Publication:6164116
DOI10.1080/17442508.2022.2150082zbMath1528.91065arXiv2103.09770OpenAlexW4311030047MaRDI QIDQ6164116
Ali Süleyman Üstünel, İhsan Demirel, Mine Caglar
Publication date: 27 July 2023
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.09770
Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Derivative formula and applications for degenerate diffusion semigroups
- Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
- Valuation of power option for uncertain financial market
- A stochastic differential equation inventory model
- Martingale representation for degenerate diffusions
- Singular risk-neutral valuation equations
- An introduction to analysis on Wiener space
- Applications of Malliavin calculus to Monte Carlo methods in finance
- A newsvendor problem with markup pricing in the presence of within-period price fluctuations
- Pricing formulae for derivatives in insurance using Malliavin calculus
- A generalized clark representation formula, with application to optimal portfolios
- The Malliavin Calculus and Related Topics
- Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
- A Martingale Representation Result and an Application to Incomplete Financial Markets
- Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
- Hedging lookback and partial lookback options using Malliavin calculus
- The value of an Asian option
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
This page was built for publication: Hedging portfolio for a market model of degenerate diffusions
