Pricing and hedging of asian option under jumps

In this paper we study the pricing and hedging problems of generalized Asian options in a jump-diffusion model. We choose the minimal entropy martingale measure (MEMM) as equivalent martingale measure and we derive a partialintegro differential equation for their price. We discuss the minimal variance hedging including the optimal hedging ratio and the optimal initial endowment. When the Asian payoff is bounded, we show that for the exponential utility function, the utility indifference price goes to the Asian option price evaluated under the MEMM as the Arrow-Pratt measure of absolute risk-aversion goes to zero.