Journal of applied mathematics & informatics

  • 제6권2호
  • /
  • Pages.569-574
  • /
  • 1999
  • /
  • 2734-1194(pISSN)
  • /
  • 2234-8417(eISSN)
한국전산응용수학회 (The Korean Society for Computational and Applied Mathematics)
권호 표지

ON THE HEDGING PRICES OF EUROPEAN AND AMERICAN OPTION

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

⟨ 이전 논문 다음 논문 ⟩

초록

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

키워드

참고문헌

  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