Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 42nd ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Nov. 2010, Okayama)
Some Simulation Results on the Computation of Delta of Path-Dependent Options Using a Discrete Version of Clark-Ocone Formula
Jirô Akahori, Takafumi Amaba, Kaori Okuma
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2011 Volume 2011 Pages 121-126

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Abstract
In this paper, presented are some numerical computations of the hedging portfolio of plain, look-back and average options respectively, using a discrete version of Clark-Ocone formula proposed by the authors themselves in [1].
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© 2011 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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