Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates Article Swipe

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Niloofar Ghorbani , Andrzej Korzeniowski ·

YOU? · · 2020 · Open Access · · DOI: https://doi.org/10.4236/jmf.2020.104040 · OA: W3107910116

We present a solution to the problem posed by Zhang et al. [1] regarding Call Option price CT under linear investment hedging for the stochastic interest rate modeled by a CIR Process. A closed form representation for CT by expected value of the path-integral along a square functional of n-dimensional Ornstein-Uhlenbeck process is derived. The method is suitable for Monte-Carlo simulation and illustrated by an example.