Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第31回ISCIE「確率システム理論と応用」国際シンポジウム(1999年11月, 横浜)
On the replicating portfolio of some exotic options
Takahiko FujitaSachiyo Futagi
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ジャーナル フリー

2000 年 2000 巻 p. 107-112

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抄録
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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