Sökning: "Alexander Stromilo"

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  1. 1. Structure of hedging portfolio for American Put and Russian options

    Magister-uppsats, Högskolan i Halmstad

    Författare :Alexander Stromilo; []
    Nyckelord :Russian option; American Put option; optimal stopping; hedging;

    Sammanfattning : In this work we consider a problem of the computation of the components of the hedging portfolio structure. In literature often one can find valuations and estimations of the fair price of American options. But the formulas for hedging portfolio are interesting as well and are known for very particular cases only. LÄS MER