Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
권호 표지

ON THE HEDGING PRICES OF EUROPEAN AND AMERICAN OPTION

  • I, S-H (Institute of Informatics Problems russian Academy of Science)
  • Published : 1999.06.01

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Abstract

In this paper we obtain relation between the heding prices in European and American option and apply to call option.

Keywords

References

  1. CRM Monograph Series Lecturess on the mathematics of finance I.Karatzas
  2. Arbitrage pricing of contingent claims S.Muller
  3. Markov processes and martingales Diffusions L.C.G.Rogers;D.Williams