Closed form representations for the minimal hedging portfolios of American type contingent claims

In the framework of the classical Black and Scholes model of security market we present the explicit formulas of the minimal hedging portfolios for a number of reward processes of the ``classical'', lookback and Asian type. These results complement the solutions previously received by Mc~Kean, Shepp and Shiryaev, Duffie and Harrison, Kramkov and Mordecki.

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Year of publication:	1994-05
Authors:	Vishnyakov, A. N. ; Kramkov, D.O.
Institutions:	University of Bonn, Germany
Subject:	hedging \| arbitrage \| american options \| path dependent options \| Snell envelope \| optimal stopping

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Series:	Discussion Paper Serie B.
Type of publication:	Book / Working Paper
Classification:	G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004968196