Option Hedging in Jump-Diffusion Markets by Malliavin Calculus

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Bakhshmohammadlou Minoo; FARNOOSH RAHMAN

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Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:31 Page(s): 165-174

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Information Journal Paper

Title

Option Hedging in Jump-Diffusion Markets by Malliavin Calculus

Author(s)

Bakhshmohammadlou Minoo | FARNOOSH RAHMAN | Issue Writer Certificate

Keywords

Jump diffusion marketQ1

Hedging strategyQ1

Malliavin calculusQ1

Clark-Ocone formulaQ1

Residual riskQ1

Abstract

We obtain the Hedging strategy in a jump-diffusion market by minimizing the variance of the Residual risk. We calculate the Residual risk by two formulas: the Ito's formula and the jump-diffusion version of the Clark-Ocone formula. The results show that Malliavin calculus can generate the Hedging strategy under weaker assumptions. Thus afterward we do not require to check the strong condition on and the condition with bounded derivative is sufficient.

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APA: Copy

Bakhshmohammadlou, Minoo, & FARNOOSH, RAHMAN. (2019). Option Hedging in Jump-Diffusion Markets by Malliavin Calculus. INVESTMENT KNOWLEDGE, 8(31 ), 165-174. SID. https://sid.ir/paper/385810/en

Vancouver: Copy

Bakhshmohammadlou Minoo, FARNOOSH RAHMAN. Option Hedging in Jump-Diffusion Markets by Malliavin Calculus. INVESTMENT KNOWLEDGE[Internet]. 2019;8(31 ):165-174. Available from: https://sid.ir/paper/385810/en

IEEE: Copy

Minoo Bakhshmohammadlou, and RAHMAN FARNOOSH, “Option Hedging in Jump-Diffusion Markets by Malliavin Calculus,” INVESTMENT KNOWLEDGE, vol. 8, no. 31 , pp. 165–174, 2019, [Online]. Available: https://sid.ir/paper/385810/en

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