On Suboptimality of Delta Hedging for Asian Options

被引:1
|
作者
Kolkiewicz, Adam W. [1 ]
机构
[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada
来源
基金
加拿大自然科学与工程研究理事会;
关键词
delta hedging error; mean-square optimal hedging; path-dependent options; Asian options; MALLIAVIN CALCULUS; ERROR;
D O I
10.1137/130914760
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
In the paper we use Asian options in the Black-Scholes framework to demonstrate that discrete-time hedging based on the standard delta is significantly less efficient than some of the optimal hedging strategies when the hedging interval decreases to zero. We provide an explanation of this phenomenon and propose a correction of the standard delta that leads to an asymptotically efficient method.
引用
收藏
页码:352 / 385
页数:34
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