This paper provides (i) new results on the structure of optimal portfolios, (ii) economic insights on the behavior of the hedging components and (iii) an analysis of simulation-based numerical methods. The core of our approach relies on closed form solutions for Melliavin derivatives of...

Recently, the (2+1)-dimensional modified Kadomtsev–Petviashvili (mKP) equation was decomposed into two known (1+1)-dimensional soliton equations by Dai and Geng [H.H. Dai, X.G. Geng, J. Math. Phys. 41 (2000) 7501]. In the present paper, a systematic and simple method is proposed for...