Open Access Open Access  Restricted Access Subscription or Fee Access

On the Delta Hedging of Lookback option related to the Black-Scholes Equation

A. Kananthai, R. Ouncharoen


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.


Black-Scholes equation, Delta Hedging, lookback option.

Full Text:



  • There are currently no refbacks.

Disclaimer/Regarding indexing issue:

We have provided the online access of all issues and papers to the indexing agencies (as given on journal web site). It’s depend on indexing agencies when, how and what manner they can index or not. Hence, we like to inform that on the basis of earlier indexing, we can’t predict the today or future indexing policy of third party (i.e. indexing agencies) as they have right to discontinue any journal at any time without prior information to the journal. So, please neither sends any question nor expects any answer from us on the behalf of third party i.e. indexing agencies.Hence, we will not issue any certificate or letter for indexing issue. Our role is just to provide the online access to them. So we do properly this and one can visit indexing agencies website to get the authentic information.