A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
Takuji Arai and Yuto Imai
| Year of publication: |
2018
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|---|---|
| Authors: | Arai, Takuji ; Imai, Yuto |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 3/4, p. 247-267
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| Subject: | Mean-variance hedging | additive processes | Malliavin calculus | fast Fourier transform | Hedging | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2018.1506259 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012128947