THE HEDGING STRATEGY FOR ASIAN OPTION

DOI10.17223/19988621/56/3zbMath1506.91167OpenAlexW3140779668MaRDI QIDQ5042989

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

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

Related Items (1)

Hedging Problem for Asian Call Options with Transaction Costs

Cites Work

• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• CALCULATION OF ASIAN OPTIONS FOR THE BLACK–SCHOLES MODEL
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