Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus

DOI10.1007/s00186-011-0352-7zbMath1221.91050OpenAlexW2045326982MaRDI QIDQ639362

Christian-Oliver Ewald, Zhaojun Yang, Olaf Menkens

Publication date: 20 September 2011

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: http://doras.dcu.ie/16746/3/Asian_Option_Hedging_MMOR_14_3_2011.pdf

zbMATH Keywords

hedgingMalliavin calculusoption pricingAsian options

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

PIDE and Solution Related to Pricing of Lévy Driven Arithmetic Type Floating Asian Options ⋮ Hedging portfolio for a market model of degenerate diffusions ⋮ Asian and Australian options: a common perspective

Cites Work

• Prices and sensitivities of Asian options: A survey
• An easy computable upper bound for the price of an arithmetic Asian option
• Applications of Malliavin calculus to Monte Carlo methods in finance
• An extension of clark' formula
• On some exponential functionals of Brownian motion
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Lectures on the Mathematics of Finance
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• An Anticipating Calculus Approach to the Utility Maximization of an Insider
• Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options
• The value of an Asian option
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