On the Minimal Hedging Portfolios of Integral Option
Commun. Korean Math. Soc. 1998 Vol. 13, No. 2, 367-375
Won Choi University of Inchon
Abstract : In this paper, we present the close solution for minimal hedging portfolios $\bold \Pi^*$ when payment $f$ for American option admits the integral option.
Keywords : integral option, minimal hedge, portfoli
