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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| Date: | 2018 |
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| Main Authors: | , , , |
| Format: | Article |
| Language: | Russian |
| Published: |
Institute of Mathematics, NAS of Ukraine
2018
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/1594 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
| Download file: |  |
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Ukrains’kyi Matematychnyi Zhurnal| Summary: | 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. |
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