Closed form representations for the minimal hedging portfolios of American type contingent claims
AbstractIn 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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Bibliographic InfoPaper provided by University of Bonn, Germany in its series Discussion Paper Serie B with number 279.
Date of creation: May 1994
Date of revision:
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hedging; arbitrage; american options; path dependent options; Snell envelope; optimal stopping;
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