A General Approach to Hedging Options: Applications to Barrier and Partial Barrier Options |
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Authors: | Hans-Peter Bermin |
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Institution: | Department of Economics, Lund University |
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Abstract: | 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. |
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Keywords: | contingent claims hedging barrier options Malliavin calculus |
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