Hedging Options: The Malliavin Calculus Approach versus the Δ‐Hedging Approach
在Black-Scholes经济中比较了Malliavin微积分对冲方法与经典Δ对冲方法，发现前者在更宽松条件下能推导出后者公式。
In this paper we consider a Black and Scholes economy and investigate two approaches to hedging contingent claims. We show that the general Malliavin calculus approach can generate the classical Δ‐hedging formula under weaker conditions.