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

MaRDI QIDQ2963153zbMATH OpenFDO

Authors T. Dumrongpokaphan, Amnuay Kananthai

Publication date 10 February 2017

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

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)

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• scientific article; zbMATH DE number 2095783

Cited in

(6)

• 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
• 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

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