Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
type: Item
instance of: scholarly article
title: Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus
zbMATH Open document ID: 1221.91050
author: Zhaojun Yang
author: Christian-Oliver Ewald
author: Olaf Menkens
published in: Mathematical Methods of Operations Research
publication date: 2011-09-20T00:00:00Z
full work available at URL: Asian Option Hedging MMOR 14 3 2011.pdf
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 5948621
zbMATH Keywords: Asian options
zbMATH Keywords: option pricing
zbMATH Keywords: hedging
zbMATH Keywords: Malliavin calculus
MaRDI profile type: Publication
OpenAlex ID: W2045326982
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DOI: 10.1007/S00186-011-0352-7
description: scientific article; zbMATH DE number 5948621