On suboptimality of delta hedging for Asian options

DOI10.1137/130914760MaRDI QIDQ5258450zbMATH OpenOpenAlexFDO

Authors Adam W. Kolkiewicz

Publication date 26 June 2015

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/130914760

zbMATH Keywords

Asian optionsdelta hedging errormean-square optimal hedgingpath-dependent options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Asymptotically efficient discrete hedging
• Hedging strategies for discretely monitored Asian options under Lévy processes
• Efficient hedging of path-dependent options
• On the estimation of the hedging of the asset price involving the Asian option
• Hedging and the mean absolute return

Cites work

• An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques
• Analysis of Error with Malliavin Calculus: Application to Hedging
• Asymptotic analysis of hedging errors in models with jumps
• Discrete time hedging errors for options with irregular payoffs
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
• scientific article; zbMATH DE number 4085365 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 3228674 (Why is no real title available?)
• Measuring the error of dynamic hedging: a Laplace transform approach
• On the convergence of higher order hedging schemes: the delta-gamma case
• OPTIMAL CONTINUOUS‐TIME HEDGING WITH LEPTOKURTIC RETURNS
• Semi-static hedging for GMWB in variable annuities
• Stochastic calculus for finance. II: Continuous-time models.
• The tracking error rate of the delta-gamma hedging strategy
• Variance-optimal hedging for processes with stationary independent increments
• When is time continuous?

Cited in

(14)

• Hedging strategies for discretely monitored Asian options under Lévy processes
• Delta hedging strategies comparison
• The hedging strategy of an Asian option
• Efficient hedging of path-dependent options
• Asymptotic analysis of delta for European put and call options
• Asymptotically efficient discrete hedging
• On the estimation of the hedging of the asset price involving the Asian option
• On the convergence of higher order hedging schemes: the delta-gamma case
• Time sensitivity of the Black-Scholes delta in discrete time
• scientific article; zbMATH DE number 2095783 (Why is no real title available?)
• On the Delta-hedging of the option price on future from the Black-Scholes equation
• Static hedging of geometric average Asian options with standard options
• Hedging and the mean absolute return
• SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL

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