Using the Donsker Delta Function to Compute Hedging Strategies

Potential Analysis

Volumn 14, Issue 4, 2001, Pages 351-374

  Aase, Knut ^a,b   Øksendal, Bernt ^a,b   Ubøe, Jan ^a  

^a NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

^b UNIVERSITY OF OSLO   (Norway)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035606152     PISSN: 09262601     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1011259820029     Document Type: Article

References (13)

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2. Black, F. and Scholes, M.: 'The pricing of options and corporate liabilities', Journal of Political Economy 81 (1973), 637-654.
3. Duffie, D.: Dynamic Asset Pricing Theory. Second edition. Princeton University Press 1992.
4. Gjessing, H., Holden, H., Lindstrøm, T., Øksendal, B., Ubøe, J. and Zhang, T.-S.: 'The Wick product'. H. Niemi et al. (eds): Frontiers in Pure and Applied Probability, TVP Publishers, Moskow 1993, pp. 29-67.
5. Hida, T.: 'Generalized Brownian functionals'. G. Kallianpur (ed): Theory and application of random fields, Springer-Verlag 1983, pp. 89-95.
6. Hida, T., Kuo, H.-H., Potthoff, J. and Streit, L.: White Noise Analysis. Kluwer 1993.
7. Holden, H., Øksendal, B., Ubøe, J. and Zhang, T.-S.: Stochastic Partial Differential Equations - A Modeling, White Noise Functional Approach, Birkhäuser, Boston 1996.
8. Kuo, H.H.: 'Donsker's delta function as a generalized Brownian functional and its application', Lecture Notes in Control and Information Sciences 49 (1983), 167-178.
9. Karatzas, I. and Ocone, D.: 'A generalized Clark representation formula, with application to optimal portfolios', Stochastics and Stochastic Reports 34 (1991), 187-220.
10. Lindstrøm, T., Øksendal, B. and Ubøe, J.: 'Wick multiplication and Itô-Skorohod stochastic differential equations'. In S. Albeverio, J. E. Fenstad, H. Holden and T. Lindstrøm (eds): Ideas and Methods in Mathematical Analysis, Stochastics, and Applications. Cambridge Univ. Press 1992, pp. 183-206.
11. Øksendal, B.: Stochastic Differential Equations. Fifth edition, Springer-Verlag 2000.
12. Merton, R.: 'The theory of rational option pricing'. Bell Journal of Economics and Management Science 4 (1973), 141-183.
13. Potthoff, J. and Streit, L.: 'A characterization of Hida distributions'. J. Func. Anal. 101 (1991), 212-229.