Static hedging of geometric average Asian options with standard options

DOI10.1080/03610918.2013.849736zbMATH Open1320.91160OpenAlexW2092297742MaRDI QIDQ5265825FDOQ5265825

Yang Shen, Linyi Qian, Shuai Wang

Publication date: 29 July 2015

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.849736

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zbMATH Keywords

Monte Carlo simulationBlack-Scholes modelstatic hedgingMerton jump-diffusion model

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• Title not available (Why is that?)
• Static hedging of multivariate derivatives by simulation
• Auto-static for the people: risk-minimizing hedges of barrier options

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