IIARD International Institute of Academic Research and Development

INTERNATIONAL JOURNAL OF APPLIED SCIENCES AND MATHEMATICAL THEORY (IJASMT )

E- ISSN 2489-009X
P- ISSN 2695-1908
VOL. 8 NO. 3 2022
DOI: https://doi.org/10.56201/ijasmt.v8.no3.2022.pg86.91

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On the Generalised Clark Haussmann Ocone Formula

Owaba, Charles O. Emmanuel, Samaila, Sylvanus Kupongoh and Humphrey, Ayodele Pereyeju

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Abstract

In this paper, exchange option and explicit computation of price of such option is examined. The variation of exchange option is investigated via the utilisation of the generalised Clark Haussmann Ocone Formula characterised by the Malliavin derivative. Thus, as an application, the European exchange price is explicitly computed thereby validating the efficiency of the Generalised Clark Hausmann Ocone Formula.

keywords:

Generalised Clark Haussman Ocone Formula, Malliavin derivative, Martingale Representation Theorem, The Girsonov Theorem

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