Application of Malliavin Calculus in Mean-Variance Hedging Strategy

<div>Hedging ratio <svg height="15.7816pt" id="M370" style="vertical-align:-3.9436pt" version="1.1" viewbox="-0.0498162 -11.838 29.2423 15.7816" width="29.2423pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M501 444C501 643 409 712 321 712C208 712 108 618 108 502C108 412 172 331 293 331C337 331 394 359 420 378C397 154 341 41 258 41C209 41 178 76 178 161C178 232 171 299 114 299C76 299 38 272 23 257L29 232C42 236 54 239 66 239C91 239 106 221 102 149C95 20 158 -12 219 -12C264 -12 314 10 353 47C461 150 501 295 501 444ZM423 443C423 433 422 422 421 412C401 396 370 385 335 385C245 385 180 444 180 537C180 609 212 671 286 671C349 671 423 595 423 443Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.735,-5.741)"><path d="M871 0V33C783 41 780 45 777 152L768 506C765 610 771 609 860 617V650H683L453 157L228 650H59V617C150 609 154 606 146 481L132 275C124 170 117 125 112 93C105 50 84 39 27 34V0H267V34C200 39 176 48 173 93C170 130 171 172 176 256L190 540H192L414 8H438L682 554H685L689 152C689 45 686 41 604 33V0H871Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,14.943,-5.741)"><path d="M698 650H468V617C551 609 555 599 536 543C506 457 432 264 379 129H377C311 297 238 488 212 560C196 604 198 609 271 617V650H21V617C80 612 98 603 127 532C183 396 268 173 335 -9H370C445 196 551 450 578 511C615 602 630 609 698 617V650Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,21.468,-5.741)"><path d="M738 650H471V617C551 612 559 606 559 524V368H218V524C218 606 227 612 305 617V650H38V617C123 612 131 606 131 524V126C131 44 124 38 41 33V0H310V33C226 38 218 44 218 126V321H559V126C559 44 551 38 463 33V0H737V33C654 38 646 44 646 126V524C646 606 654 612 738 617V650Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.409,3.784)"><path d="M329 433H203L239 587L230 596L147 534L123 433H57L30 395L34 388H115L61 129C37 16 59 -12 85 -12C147 -12 222 58 260 98L241 125C212 95 160 62 144 62C132 62 127 71 138 126L192 386L305 394L329 433Z"></path></g></svg> for <svg height="11.8174pt" id="M371" style="vertical-align:-3.1815pt" version="1.1" viewbox="-0.0498162 -8.6359 13.3712 11.8174" width="13.3712pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M541 160L512 170C485 116 462 88 439 67C411 41 376 35 318 35C272 35 238 37 224 48C207 61 205 85 212 121L290 533C305 611 308 615 391 622L397 650H139L133 622C217 615 221 612 206 533L126 118C111 41 103 34 23 26L17 0H474C489 31 528 124 541 160Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,8.294,3.132)"><path d="M414 144C384 79 371 75 317 75H135L276 221C367 316 408 376 408 465C408 570 327 635 237 635C179 635 131 609 100 575L42 494L67 471C94 510 138 565 205 565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g></svg> with respect to strike price <span class="nowrap"><svg height="8.68572pt" id="M372" style="vertical-align:-0.0498209pt" version="1.1" viewbox="-0.0498162 -8.6359 9.95144 8.68572" width="9.95144pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M743 650H503L496 622L527 618C563 613 564 603 532 573C449 495 371 431 323 392C301 374 272 355 246 346L280 522C297 609 300 614 379 622L385 650H135L129 622C209 614 215 609 198 522L124 133C106 39 99 35 23 28L17 0H271L277 28C193 35 192 39 208 133L239 316C264 328 280 325 303 288C368 183 435 90 502 0H652L659 28C602 34 584 43 543 94C495 154 403 283 347 369L574 554C634 603 659 612 735 624L743 650Z"></path></g></svg>.</span></div>

Mathematical Problems in Engineering

Application of Malliavin Calculus in Mean-Variance Hedging Strategy

Figure 2