Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
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 AkahoriTakafumi AmabaKaori Okuma
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2011 年 2011 巻 p. 121-126

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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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