Just looking at this potential hedging model looks super complicated in this question. Is it worth pursuing?
Protect your peofit by watching this https://quantlabs.net/banking/
Superhedging in Cox-Ross-Rubinstein model revisited
https://quant.stackexchange.com/questions/71215/superhedging-in-cox-ross-rubinstein-model-revisited
As complicated as you want to make it, quant brings up some interesting concepts on pricing and hedging. Who would delve into this must be a PhD in math? There was a complicated answer that goes with it of course.
https://quant.stackexchange.com/questions/71185/pricing-hedging-vanilla-interest-rate-options-with-sabr-lmm
Protect your peofit by watching this https://quantlabs.net/banking/