Static hedging of geometric average Asian options with standard options

DOI10.1080/03610918.2013.849736MaRDI QIDQ5265825zbMATH OpenOpenAlexFDO

Authors Shuai Wang, Yang Shen, Linyi Qian

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

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)

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Cites work

• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Auto-static for the people: risk-minimizing hedges of barrier options
• Static hedging of multivariate derivatives by simulation

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