Structure of hedging portfolio for American Put and Russian options

Structure of hedging portfolio for American Put and Russian options

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 particu...

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Bibliographic Details
Main Author: Stromilo, Alexander
Format: Others
Language:English
Published: Högskolan i Halmstad
Subjects:
Russian option
American Put option
optimal stopping
hedging
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1640
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spelling ndltd-UPSALLA1-oai-DiVA.org-hh-16402013-01-08T13:20:48ZStructure of hedging portfolio for American Put and Russian optionsengStromilo, AlexanderHögskolan i HalmstadRussian optionAmerican Put optionoptimal stoppinghedgingIn 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. Student thesisinfo:eu-repo/semantics/bachelorThesistexthttp://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1640Local 2082/2021application/pdfinfo:eu-repo/semantics/openAccess
collection NDLTD
language English
format Others
sources NDLTD
topic Russian option
American Put option
optimal stopping
hedging
spellingShingle Russian option
American Put option
optimal stopping
hedging
Stromilo, Alexander
Structure of hedging portfolio for American Put and Russian options
description 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.
author Stromilo, Alexander
author_facet Stromilo, Alexander
author_sort Stromilo, Alexander
title Structure of hedging portfolio for American Put and Russian options
title_short Structure of hedging portfolio for American Put and Russian options
title_full Structure of hedging portfolio for American Put and Russian options
title_fullStr Structure of hedging portfolio for American Put and Russian options
title_full_unstemmed Structure of hedging portfolio for American Put and Russian options
title_sort structure of hedging portfolio for american put and russian options
publisher Högskolan i Halmstad
publishDate
url http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1640
work_keys_str_mv AT stromiloalexander structureofhedgingportfolioforamericanputandrussianoptions
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