A general approach to hedging options: Applications to barrier and partial barrier options

Mathematical Finance

Volumn 12, Issue 3, 2002, Pages 199-218

  Bermin, Hans Peter ^a  

^a LUND UNIVERSITY   (Sweden)

Author keywords

Barrier options; Contingent claims; Hedging; Malliavin calculus

Indexed keywords

EID: 0036021608     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.02007     Document Type: Article

References (22)

1. White noise generalizations of the Clark-Haussmann-Ocone theorem, with applications to mathematical finance
2. Hedging lookback and partial lookback options using Malliavin calculus
3. Hedging options: The Malliavin calculus approach versus the ΔHedging approach
4. Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options
5. Two extensions to barrier option valuation
6. Path dependent options: The case of lookback options
7. An application of Malliavin calculus to Monte Carlo methods in finance
8. Changes of numéraire, changes of probability measure and option pricing
9. On contingent claims that insure ex-post optimal stock market timing
10. Partial barrier options
11. A generalized clark representation formula, with applications to optimal portfolios
12. Theory of rational option pricing
13. Absolute continuity of the laws of the maximum of a continuous process
14. Breaking down the barriers
15. An introduction to analysis on wiener space