On the minimal hedging portfolios of integral option

  • Choi, Won (Department of Mathematics, University of Inchon)
  • 발행 : 1998.04.01

초록

In this paper, we present the close solution for minimal hedging portofolis $II^*$ when payment f for American option admits the integral option.

키워드

참고문헌

  1. Stochastic differnetial equations and diffusion processes N. Ikede;S. Watanabe
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