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Cogent Economics & Finance Volume 5, 2017 - Issue 1
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Research Article

Bismut–Elworthy–Li formula for subordinated Brownian motion applied to hedging financial derivatives

M. KatereggaDepartment of Actuarial Science, University of Cape Town, Rondebosch, Cape Town7700, South AfricaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0003-1992-1929View further author information
ORCID Icon,
S. MataramvuraDepartment of Actuarial Science, University of Cape Town, Rondebosch, Cape Town7700, South AfricaORCID Iconhttps://orcid.org/0000-0002-8073-2070View further author information
ORCID Icon &
D. TaylorDepartment of Actuarial Science, University of Cape Town, Rondebosch, Cape Town7700, South AfricaView further author information
|
Xibin ZhangMonash University, AustraliaView further author information
(Reviewing Editor)
Article: 1384125 | Received 12 Jun 2017, Accepted 15 Sep 2017, Published online: 06 Oct 2017

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