Bismut–Elworthy–Li formula for subordinated Brownian motion applied to hedging financial derivatives
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DOI: 10.1080/23322039.2017.1384125
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References listed on IDEAS
- Michael Kateregga & Sure Mataramvura & David Taylor, 2017. "Parameter estimation for stable distributions with application to commodity futures log returns," Papers 1706.09756, arXiv.org.
- Reiichiro Kawai & Arturo Kohatsu-Higa, 2010. "Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 301-321.
- Hans-Peter Bermin, 2000. "Hedging lookback and partial lookback options using Malliavin calculus," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(2), pages 75-100.
- T. R. Cass & P. K. Friz, 2006. "The Bismut-Elworthy-Li formula for jump-diffusions and applications to Monte Carlo pricing in finance," Papers math/0604311, arXiv.org, revised May 2007.
- M. Kateregga & S. Mataramvura & D. Taylor, 2017. "Parameter estimation for stable distributions with application to commodity futures log-returns," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1318813-131, January.
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