Delta-Gamma-Vega Hedged Portfolio of Exotic Option by...

Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications 2009 / 5 Vol. 2009

Delta-Gamma-Vega Hedged Portfolio of Exotic Option by Malliavin Calculus

Matsuda, Yoshimasa, Ichikawa, Akira
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Volume:
2009
Journal:
Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
DOI:
10.5687/sss.2009.366
Date:
May, 2009
File:
PDF, 2.08 MB
2009
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