List of Articles Residual risk

• Open Access Article
  • Abstract Page
  • Full-Text
  
  1 - Option Hedging in Jump-Diffusion Markets by Malliavin Calculus
  Minoo Bakhsh Mohammadlou Rahman Farnoosh
  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 calcul More

  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.     Manuscript profile
• Open Access Article
  • Abstract Page
  • Full-Text
  
  2 - Hedging of Options in Jump-Diffusion Markets with Correlated Assets
  Minoo Bakhshmohammadlou
  10.22034/amfa.2020.1892244.1367
  Manuscript profile