A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options

In this paper we consider a Black and Scholes economy and show how the Malliavin calculus approach can be extended to cover hedging of any square integrable contingent claim. As an application we derive the replicating portfolios of some barrier and partial barrier options. Copyright 2002 Blackwell Publishing, Inc..

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Year of publication:	2002
Authors:	Bermin, Hans-Peter
Published in:	Mathematical Finance. - Wiley Blackwell, ISSN 0960-1627. - Vol. 12.2002, 3, p. 199-218
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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