Hedging of the European option with nonsmooth payment function
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...
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| Дата: | 2018 |
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| Автори: | , , , |
| Формат: | Стаття |
| Мова: | Російська |
| Опубліковано: |
Institute of Mathematics, NAS of Ukraine
2018
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| Онлайн доступ: | https://umj.imath.kiev.ua/index.php/umj/article/view/1594 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
| Завантажити файл: |  |
Репозитарії
Ukrains’kyi Matematychnyi Zhurnal| Резюме: | 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 corresponding Wiener functional with integrand represented in the
explicit form. |
|---|