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Document Details : Title: On the Hedging Portfolio of Asian Options Author(s): JACQUES, M. Journal: ASTIN Bulletin Volume: 26 Issue: 2 Date: November 1996 Pages: 165-184 DOI: 10.2143/AST.26.2.563217 Abstract : We give 2 explicit formulae for the hedging portfolio of Asian options. One is based on the usual Lognormal approximation, and the other on an inverse Gaussian approximation. Both give excellent results as replicating strategies when the parameters of the model are in a reasonable range. |
