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

doi:10.5687/sss.2011.121

第42回ISCIE「確率システム理論と応用」国際シンポジウム(2010年11月, 岡山）

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

著者情報

ジャーナルフリー

2011 年 2011 巻 p. 121-126

DOI https://doi.org/10.5687/sss.2011.121

詳細

抄録

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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