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...
Gespeichert in:
| Datum: | 2018 |
|---|---|
| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | Russisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
2018
|
| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/1594 |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
| Завантажити файл: |  |
Institution
Ukrains’kyi Matematychnyi Zhurnal| Zusammenfassung: | 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. |
|---|