|Institution:||Högskolan i Halmstad|
|Keywords:||Russian option; American Put option; optimal stopping; hedging; Financial Mathematics; Finansiell matematik; Physics, Chemistry, Mathematics; fysik/kemi/matematik|
|Full text PDF:||http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-1640|
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.