Variance-optimal hedging for Asian options under independent increments processes
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Publication:6188580
Authors:
Publication date: 7 February 2024
Full work available at URL: https://applmath.cjoe.ac.cn/jweb_yysxxb/EN/Y2022/V45/I5/767
Recommendations
- Variance-optimal hedging for processes with stationary independent increments
- Variance-optimal hedging for target volatility options
- Hedging strategies for discretely monitored Asian options under Lévy processes
- Hedging variance options on continuous semimartingales
- Efficient hedging of path-dependent options
Cites Work
- Variance-Optimal Hedging in Discrete Time
- Variance-optimal hedging for target volatility options
- Variance-optimal hedging for processes with stationary independent increments
- Föllmer-Schweizer decomposition and mean-variance hedging for general claims
- Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
- On quadratic hedging in continuous time
- Hedging strategies for discretely monitored Asian options under Lévy processes
- Residual risks and hedging strategies in Markovian markets
- Variance optimal hedging for continuous time additive processes and applications
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