A numerically efficient closed-form representation of mean-variance hedging for exponential additive processes based on Malliavin calculus
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 | Optionspreistheorie | Option pricing theory | Hedging | Finanzmathematik | Mathematical finance | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis |
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Special issue: Conference on Applications of Malliavin Calculus in Finance
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