PATH DEPENDENT OPTIONS: HEDGING LOOKBACK OPTIONS

           AND PARTIAL LOOKBACK OPTIONS

   Hans-Peter Bermin, Nationalekonomiska institutionen,
                      Lunds Universitet


We consider a Black and Scholes economy with constant
coefficients and give a short introcution to the theory
of mathematical finance. We define the notations: no
arbitrage, completeness, martingale measure, numeraires and
hedging. Thereafter we show how to price and hedge contingent
claims. Finally we use the Malliavin calculus approach to
explicitly derive the hedging strategies of some well known
contingent claims.