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K. Aase, B. Oksendal, N. Privault and J. Uboe, “White Noise Generalizations of the Clark-Haussmann-Ocone Theorem, With Application to Mathematical Finance,” Finance and Stochastics, Vol. 4, No. 4, 2000, pp. 465-496. doi:10.1007/PL00013528

has been cited by the following article:

• TITLE: The Malliavin Derivative and Application to Pricing and Hedging a European Exchange Option

  AUTHORS: Sure Mataramvura

  KEYWORDS: Exchange Option; Contingent Claim; Hedging; Generalized CHO Formula

  JOURNAL NAME: Journal of Mathematical Finance, Vol.2 No.4, November 19, 2012

  ABSTRACT: The exchange option was introduced by Margrabe in [1] and its price was explicitly computed therein, albeit with some small variations to the models considered here. After that important introduction of an option to exchange one commodity for another, a lot more work has been devoted to variations of exchange options with attention focusing mainly on pricing but not hedging. In this paper, we demonstrate the efficiency of the Malliavin derivative in computing both the price and hedging portfolio of an exchange option. For that to happen, we first give a preview of white noise analysis and theory of distributions.