00-8   Berichtsreihe des Mathematischen Seminars der Universität Kiel

Volkert Paulsen:

The geometric put

This paper considers the put option on a geometric weight of stocks which is a derivative of multiple assets. We compute the price of the European option and give a characterization of the early exercise region for the American one. Furthermore hedging strategies for both cases are calculated.

Mathematics Subject Classification (1991): 60G40, 60J70, 60H30

Keywords: American option, options on multiple assets, quadratic approximation

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[Thu Feb 19 18:56:35 2009]
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