(a) Find the hedging portfolio for an Arrow–Debreu security V that pays off VT = I(XY (T ) = K) · YT

(a) Find the hedging
portfolio for an Arrow–Debreu security V that pays off VT = I(XY (T ) ≥
K) · YT in a geometric Brownian motion model. (b) Find the hedging portfolio
for an Arrow–Debreu security V that pays off UT = 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.