Static Hedging of Geometric Average Asian Options with Standard Options

DOI10.1080/03610918.2013.849736zbMath1320.91160OpenAlexW2092297742MaRDI QIDQ5265825

Yang Shen, Shuai Wang, Lin-Yi 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

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

Cites Work

• Unnamed Item
• Auto-static for the people: risk-minimizing hedges of barrier options
• Static hedging of multivariate derivatives by simulation

This page was built for publication: Static Hedging of Geometric Average Asian Options with Standard Options