On the estimation of the hedging of the asset price involving the Asian option

zbMATH Open1359.35086MaRDI QIDQ2963153FDOQ2963153

Authors: T. Dumrongpokaphan, Amnuay Kananthai 

Publication date: 10 February 2017

Full work available at URL: http://www.pphmj.com/abstract/10008.htm

Recommendations

• On suboptimality of delta hedging for Asian options
• The hedging strategy for Asian option
• Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
• Explicit expressions for the valuation and hedging of the arithmetic Asian option
• scientific article; zbMATH DE number 2095783

zbMATH Keywords

Black-Scholes equationAsian option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Solutions to PDEs in closed form (35C05) Heat equation (35K05)

Cited In (6)

• Title not available (Why is that?)
• On the Delta-hedging of the option price on future from the Black-Scholes equation
• On suboptimality of delta hedging for Asian options
• The hedging strategy for Asian option
• Estimation of sensitivity parameters of the arithmetic Asian options
• The hedging strategy of an Asian option

This page was built for publication: On the estimation of the hedging of the asset price involving the Asian option

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2963153)