Wiener Chaos: A New Approach To Option Hedging
AbstractThis paper addresses the problem of estimating and analyzing the residual risk that is not hedged by a discrete hedging strategy. the use of die chaotic representation allows an elegant decomposition of the residual risk to be hedged by adequate assets. Alternative strategies to the classical delta hedging and optimization under the risk-neutral and historical probabilities are discussed. Copyright 1996 Blackwell Publishers.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Mathematical Finance.
Volume (Year): 6 (1996)
Issue (Month): 2 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627
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- Lionel Martellini, 2000. "Efficient Option Replication in the Presence of Transactions Costs," Review of Derivatives Research, Springer, vol. 4(2), pages 107-131, May.
- Darolles, Serge & Laurent, Jean-Paul, 2000. "Approximating payoffs and pricing formulas," Journal of Economic Dynamics and Control, Elsevier, vol. 24(11-12), pages 1721-1746, October.
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