Closed form representations for the minimal hedging portfolios of American type contingent claims
In 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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|Date of creation:||May 1994|
|Date of revision:|
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