On the Delta Hedging of Lookback option related to the Black-Scholes Equation
In this paper, we studied the delta hedging which is another way of minimizing the risk of investment, particularly, the trading of lookback option. Such lookback option is known as one of the exotic options. We can relate such delta hedging of the lookback option to the delta hedging of the call option price from the Black-Scholes equation. Moreover we also find the properties of the kernel related to the lookback option which is interesting results.
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