On the Hedging Portfolio of Asian Options

Michel Jacques

ASTIN Bulletin, 1996, vol. 26, issue 2, 165-183

Abstract: We give 2 explicit formulae for the hedging portfolio of Asian options. One is based on the usual Lognormal approximation, and the other on an Inverse Gaussian approximation. Both give excellent results as replicating strategies when the parameters of the model are in a reasonable range.

Date: 1996
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