Tytuł artykułu
Autorzy
Wybrane pełne teksty z tego czasopisma
Identyfikatory
Warianty tytułu
Języki publikacji
Abstrakty
We present a method of theoretical and numerical construction of the hedging (replicating) portfolio for a given derivative financial instrument for the Heston model of a financial market. The stochastic Heston model is defined by an appropriate system oflto type stochastic differential equations. We use a methodology based on an application of the Clark-Ocone-Haussmann formula, leading to closed formulae for optimal replicating strategies. We show how to use it in computer oriented applications.
Wydawca
Czasopismo
Rocznik
Tom
Strony
483--495
Opis fizyczny
Bibliogr. 9 poz.
Twórcy
autor
- Institute of Mathematics Wrocław University of Technology Wybrzeże Wyspiańskiego 27 50-370 Wrocław, Poland
autor
- Institute of Mathematics Wrocław University of Technology Wybrzeże Wyspiańskiego 27 50-370 Wrocław, Poland
Bibliografia
- [1] E. Fournie, J.-M. Lasry, J. Lebuchoux, P.-L. Lions, N. Touzi, Applications of Malliavin calculus to Monte Carlo methods in finance, Finance and Stochastics 3 (1999), 391-412.
- [2] S. Heston, A closed-form, solution for options with stochastic volatility with applications to bond and currency options, Rev. Financial Studies 6 (1993), 327-343.
- [3] N. Ikeda, S. Watanabe, Stochastic Differential Equations and Diffusion Processes, North-Holland, Amsterdam, 1981.
- [4] A. Janicki, A. Weron, Simulation and Chaotic Behavior of α-stable Stochastic Processes, Marcel Dekker, New York, 1994, 2000.
- [5] I. Karatzas, S. E. Shreve, Methods of Mathematical Finance, Springer-Verlag, New York, 1998.
- [6] P. E. Kloeden, E. Platen, Numerical Solution of Stochastic Differential Equations, Springer-Verlag, New York, 1992, 1996, 1998.
- [7] M. Musiela, M. Rutkowski, Martingale Methods in Financial Modelling: Theory and Applications, Springer-Verlag, New York, 1997.
- [8] D. Nualart, The Malliavin Calculus and Related Topics, Springer-Verlag, New York, 1995.
- [9] D. L. Ocone, I. Karatzas, A generalized Clark representation formula, with application to optimal portfolios, Stochastics Stochastics Rep. 34 (1991), 187-220.
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-article-PWA1-0039-0013