The hedging strategy of an Asian option

被引：0
|
作者：
Yang, ZJ [1 ]
Zou, JZ [1 ]
机构：
[1] Cent S Univ, Changsha 410075, Peoples R China
来源：
MARKOV PROCESSES AND CONTROLLED MARKOV CHAINS | 2002年
关键词：
a generalized Clark formula; Asian option; a hedging strategy;
D O I：
暂无
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：389 / 395
页数：7
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