The hedging strategy for Asian option | Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mekhanika – Tomsk State University Journal of Mathematics and Mechanics. 2018. № 56. DOI: 10.17223/19988621/56/3

The hedging strategy for Asian option

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.

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Keywords

хеджирующая стратегия, Азиатский опцион, стохастические дифференциальные уравнения, Броуновское движение, модель Блэка - Шоулса, hedging strategy, Asian option, stochastic differential equations, Brownian motion, Black and Scholes model

Authors

Name	Organization	E-mail
Shishkova Alyona Аndreevna	Tomsk State University	alshishkovatomsk@gmail.com

Всего: 1

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Shishkova A.A. (2018) Calculation of Asian options for the Black-Scholes model. Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mekhanika [Tomsk State University Journal of Mathematics and Mechanics]. 51. pp. 48-63. DOI 10.17223/19988621/51/5.