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Structure of hedging portfolio for American Put and Russian options
Halmstad University.
(English)Independent thesis Advanced level (degree of Master (One Year))Student thesis
Abstract [en]

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. In our work we study different cases of American Put and Russian

options on finite and infinite horizon.

Keywords [en]
Russian option, American Put option, optimal stopping, hedging
Identifiers
URN: urn:nbn:se:hh:diva-1640Local ID: 2082/2021OAI: oai:DiVA.org:hh-1640DiVA, id: diva2:238858
Presentation
(English)
Uppsok
Physics, Chemistry, Mathematics
Available from: 2008-06-25 Created: 2008-06-25 Last updated: 2009-10-26

Open Access in DiVA

fulltext(345 kB)284 downloads
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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf