Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
The 31st ISCIE International Symposium on Stochastic Systems Theory and Its Applications (Nov. 1999, Yokohama)
On the replicating portfolio of some exotic options
Takahiko Fujita, Sachiyo Futagi
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2000 Volume 2000 Pages 107-112

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Abstract
The aim of this paper is to calculate the replicating portfolio of two geometric average options in the Black-Sholes model. Seeing this calculation, we can observe that the delta hedge of these options have simple forms. So, it is easy to create the hedging scheme of these options.
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© 2000 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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