Hedging of the European option with nonsmooth payment function

• Дата: 2018
• Автори: Glonti, O. A., Purtukhiya, O. G., Глонти, O. A., Пуртухия, О. Г.
• Формат: Стаття
• Мова: Російська
• Опубліковано: Institute of Mathematics, NAS of Ukraine 2018
• Онлайн доступ: https://umj.imath.kiev.ua/index.php/umj/article/view/1594
• Назва журналу: Ukrains’kyi Matematychnyi Zhurnal

We consider onе type of European option in the case of the Black – Scholes financial market model whose payment function is a certain combination of binary and Asian options. The corresponding hedging scheme is analyzed.We deduce the formula for the Clark stochastic integral representation of the co...