The Hedging Strategy of an Asian Option

Zhaojun Yang and Jiezhong Zou
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Zhaojun Yang: Changsha Railway University
Jiezhong Zou: Changsha Railway University

Chapter Chapter 24 in Markov Processes and Controlled Markov Chains, 2002, pp 389-395 from Springer

Abstract: Abstract By a generalized Clark formula, this paper provides a hedging strategy for the Asian option calculated with geometric averaging. The hedging strategy is uncomplicated and easy to operate.

Keywords: a generalized Clark formula; Asian option; a hedging strategy (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-0265-0_24

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DOI: 10.1007/978-1-4613-0265-0_24

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