Hedging of European Options of Integral type

Author: Omar Glonti
Co-authors: Omar Purtukhia
Keywords: Black-Scholes model, Bachelier model, Clark-Ocone representation, local time, hedging problem.
Annotation:

The method of hedging of some integral type European Options using the Protter and Mayer Theorem is developed. The Clark type stochastic integral representation formulas of local time and of payoff function of options are established and hedging problems are solved.

Lecture files:

Hedging of European Options of Integral type [en]
ინტეგრალური ტიპის ევროპული ოფციონების ჰეჯირება [ka]