Hedging Problem for Asian Call Options with Transaction Costs

DOI10.1137/S0040585X97T991374MaRDI QIDQ6112446zbMATH OpenFDO

Authors

Publication date 7 August 2023

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/S0040585X97T991374

zbMATH Keywords

Asian optionsasymptotic hedgingBlack-Scholes modelhedging problemLeland strategyoption pricingtransaction cost market

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs
• Approximate hedging problem with transaction costs in stochastic volatility markets
• Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps
• Arbitrage Theory in Continuous Time
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL
• scientific article; zbMATH DE number 5005907 (Why is no real title available?)
• In the insurance business risky investments are dangerous: the case of negative risk sums
• Limit theorem for Leland's strategy
• Markets with transaction costs. Mathematical theory.
• Modified Leland's strategy for a constant transaction costs rate
• On Asian option pricing for NIG Lévy processes
• On the duality principle in option pricing: semimartingale setting
• Options on a traded account: Vacation calls, vacation puts and passport options
• Pricing Asian options in a semimartingale model
• Real Analysis and Probability
• The hedging strategy for Asian option
• The pricing of options and corporate liabilities
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(5)

• A two-step problem of hedging a European call option under a random duration of transactions
• The hedging strategy of an Asian option
• THE GREEKS OF INDONESIAN CALL OPTION
• The hedging strategy for Asian option
• Pricing and hedging Asian-style options on energy

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