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Using the Donsker Delta Function to Compute Hedging Strategies · Study

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ArticleUsing the Donsker Delta Function to Compute Hedging Strategies

Knut Kristian Aase2001

Article2001

Using the Donsker Delta Function to Compute Hedging Strategies

Knut Kristian Aase · Bernt Øksendal · Jan Ubøe

38 citations·0/0 files stored·Potential Analysis

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Stochastic processes and financial applications Mathematical and Theoretical Analysis Fuzzy Systems and Optimization

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 2003Stochastic Differential Equations 1997Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach.1991A generalized clark representation formula, with application to optimal portfolios

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2002CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS 2009Weak approximations for Wiener functionals 2004ON EXPLICIT STRONG SOLUTION OF ITÔ–SDE'S AND THE DONSKER DELTA FUNCTION OF A DIFFUSION 2015A Donsker Delta Functional Approach to Optimal Insider Control and Applications to Finance

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Year2001

Typearticle

Published2001-06-01

VenuePotential Analysis

ISSN-L0926-2601

Languageen

Citations38

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1011259820029

openalex_workW55231220

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