Hedging Options: The Malliavin Calculus Approach versus the Δ‐Hedging Approach

Hans‐Peter Bermin

Mathematical Finance, 2003, vol. 13, issue 1, 73-84

Abstract: In this paper we consider a Black and Scholes economy and investigate two approaches to hedging contingent claims. We show that the general Malliavin calculus approach can generate the classical Δ‐hedging formula under weaker conditions.

Date: 2003
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