The hedging strategy for Asian option

DOI10.17223/19988621/56/3MaRDI QIDQ5042989zbMATH OpenOpenAlexFDO

Authors Alena Andreevna Shishkova

Publication date 26 October 2022

Published in Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mekhanika (Search for Journal in Brave)

Full work available at URL http://mathnet.ru/eng/vtgu678

zbMATH Keywords

Brownian motionstochastic differential equationsBlack-Scholes modelAsian optionhedging strategy

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL
• On the estimation of the hedging of the asset price involving the Asian option
• Hedging strategies for discretely monitored Asian options under Lévy processes
• Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
• Hedging Problem for Asian Call Options with Transaction Costs

Cites work

• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL
• Pricing Asian options by Monte Carlo method under MPI environment

Cited in

(6)

• scientific article; zbMATH DE number 2095783 (Why is no real title available?)
• Hedging strategies for discretely monitored Asian options under Lévy processes
• Hedging Problem for Asian Call Options with Transaction Costs
• Static hedging of geometric average Asian options with standard options
• On the estimation of the hedging of the asset price involving the Asian option
• The hedging strategy of an Asian option

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