On Suboptimality of Delta Hedging for Asian Options

DOI10.1137/130914760zbMath1315.91064OpenAlexW1511605968MaRDI QIDQ5258450

Adam W. Kolkiewicz

Publication date: 26 June 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/130914760

zbMATH Keywords

Asian optionspath-dependent optionsdelta hedging errormean-square optimal hedging

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

EFFICIENT HEDGING OF PATH–DEPENDENT OPTIONS

Cites Work

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