SFB 303 Discussion Paper No. B-279

Author: Kramkov, D. O., and A.N. Vishnyakov
Title: Closed Form Representations for the Minimal Hedging Portfolios of American Type Contingent Claims
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: arbitrage, hedging, path dependent options
JEL-Classification-Number: G13
Creation-Date: May 1994
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