# (a) Find the hedging portfolio for an Arrow–Debreu security V that pays in a geometric Brownian…

- September 24, 2021 /
- ecommerce Development, web development, Software Development, Online marketing, Magento, Ecommerce

(a) Find the hedging portfolio for an Arrow–Debreu

security V that pays in a geometric Brownian motion model.

(b) Find the hedging portfolio for an Arrow–Debreu

security V that pays off U_{T} = I(XY (T ) ≥ K) · XT in the same

model.

(c) Combining the results from (a) and (b), find the

hedging portfolio for a contract W that pays off WT = UT −K ·VT . Note

that W is a European call option.