THE HEDGING STRATEGY FOR ASIAN OPTION

被引：2
|
作者：
Shishkova, A. A. [1 ]
机构：
[1] Tomsk State Univ, Tomsk, Russia
来源：
VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-MATEMATIKA I MEKHANIKA-TOMSK STATE UNIVERSITY JOURNAL OF MATHEMATICS AND MECHANICS | 2018年 / 56期
关键词：
hedging strategy; Asian option; stochastic differential equations; Brownian motion; Black and Scholes model;
D O I：
10.17223/19988621/56/3
中图分类号：
O3 [力学];
学科分类号：
08 ; 0801 ;
摘要：
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.
引用
收藏
页码：29 / 41
页数：13
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