Template-Type: ReDIF-Paper 1.0
Title: Closed form representations for the minimal hedging portfolios of
  	American type contingent claims
Author-Name: A. N. Vishnyakov
Author-Name: Kramkov, D.O.
Abstract: In the framework of the classical Black and Scholes model of
  	security market we present the explicit formulas of the minimal
  	hedging portfolios for a number of reward processes of the
  	``classical'', lookback and Asian type. These results complement the
  	solutions previously received by Mc~Kean, Shepp and Shiryaev, Duffie
  	and Harrison, Kramkov and Mordecki.
Keywords: hedging, arbitrage, american options, path dependent options,
  	Snell envelope, optimal stopping
Classification-JEL: G13
Creation-Date: 1994-05
Handle: RePEc:bon:bonsfb:279