Abstract:
The article deals with the problem of portfolio investment in the Black–Scholes model with several risky assets. The hedging strategy for Asian option is found using the martingale method. The analytical properties (differentiability) of the densities of exponential random variables are studied.
Keywords:
hedging strategy, Asian option, stochastic differential equations, Brownian motion, Black and Scholes model.
\Bibitem{Shi18}
\by A.~A.~Shishkova
\paper The hedging strategy for Asian option
\jour Vestn. Tomsk. Gos. Univ. Mat. Mekh.
\yr 2018
\issue 56
\pages 29--41
\mathnet{http://mi.mathnet.ru/vtgu678}
\crossref{https://doi.org/10.17223/19988621/56/3}
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\elib{https://elibrary.ru/item.asp?id=36709581}
Linking options:
https://www.mathnet.ru/eng/vtgu678
https://www.mathnet.ru/eng/vtgu/y2018/i56/p29
This publication is cited in the following 2 articles:
A. A. Murzintseva, S. M. Pergamenshchikov, E. A. Pchelintsev, “Hedging problem for the Asian call options with transaction costs”, Theory Probab. Appl., 68:2 (2023), 211–230
Shishkova A.A., “The Hedging Strategy For Asian Option”, Vestn. Tomsk. Gos. Univ.-Mat. Mek., 2018, no. 56, 29–41
Citation in format AMSBIB
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