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Hedging strategies for discretely monitored Asian options under Lévy processes
1. | School of Mathematical Sciences, Nankai University, Tianjin 300071 |
2. | School of Business, Nankai University, Tianjin 300071 |
References:
[1] |
J. Angus, A note on pricing Asian derivatives with continuous geometric averaging, Journal of Futures Markets, 19 (1999), 845-858.
doi: 10.1002/(SICI)1096-9934(199910)19:7<845::AID-FUT6>3.3.CO;2-4. |
[2] |
E. Bayraktar and H. Xing, Pricing Asian options for jump diffusion, Mathematical Finance, 21 (2011), 117-143.
doi: 10.1111/j.1467-9965.2010.00426.x. |
[3] |
N. Cai and S. G. Kou, Pricing Asian options under a hyper-exponential jump diffusion model, Operations Research, 60 (2012), 64-77.
doi: 10.1287/opre.1110.1006. |
[4] |
R. Engle, Risk and Volatility: Econometric models and financial practice, American Economic Review, 94 (2004), 405-420.
doi: 10.1257/0002828041464597. |
[5] |
H. Föllmer and M. Schweizer, Hedging of contingent claims under incomplete information, in Applied Stochastic Analysis (eds. M. Davis and R. Elliott), Gordon and Breach, (1991), 389-414. |
[6] |
P. Foschi, S. Pagliarani and A. Pascucci, Approximations for Asian options in local volatility models, Journal of Computational and Applied Mathematics, 237 (2013), 442-459.
doi: 10.1016/j.cam.2012.06.015. |
[7] |
G. Fusai and A. Meucci, Pricing discretely monitored Asian options under Lévy processes, Journal of Banking and Finance, 32 (2008), 2076-2088.
doi: 10.1016/j.jbankfin.2007.12.027. |
[8] |
S. Hodges and A. Neuberger, Optimal replication of contingent claims under transactions costs, Review of Forward Markets, 8 (1989), 222-239. |
[9] |
F. Hubalek, J. Kallsen and L. Karwczyk, Variance-optimal hedging for processes with stationary independent increments, Annals of Applied Probability, 16 (2006), 853-885.
doi: 10.1214/105051606000000178. |
[10] |
F. Hubalek and C. Sgarra, On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps, Journal of Computational and Applied Mathematics, 235 (2011), 3355-3365.
doi: 10.1016/j.cam.2011.01.049. |
[11] |
B. Kim and I. S. Wee, Pricing of geometric Asian options under Heston's stochastic volatility model, Quantitative Finance.
doi: 10.1080/14697688.2011.596844. |
[12] |
D. Schweizer, Variance-optimal hedging in discrete time, Mathematics of Operations Research, 20 (1995), 1-32.
doi: 10.1287/moor.20.1.1. |
[13] |
X. Wang and Y. Wang, Variance-optimal hedging for target volatility options, Journal of Industrial and Management Optimization, 10 (2014), 207-218.
doi: 10.3934/jimo.2014.10.207. |
show all references
References:
[1] |
J. Angus, A note on pricing Asian derivatives with continuous geometric averaging, Journal of Futures Markets, 19 (1999), 845-858.
doi: 10.1002/(SICI)1096-9934(199910)19:7<845::AID-FUT6>3.3.CO;2-4. |
[2] |
E. Bayraktar and H. Xing, Pricing Asian options for jump diffusion, Mathematical Finance, 21 (2011), 117-143.
doi: 10.1111/j.1467-9965.2010.00426.x. |
[3] |
N. Cai and S. G. Kou, Pricing Asian options under a hyper-exponential jump diffusion model, Operations Research, 60 (2012), 64-77.
doi: 10.1287/opre.1110.1006. |
[4] |
R. Engle, Risk and Volatility: Econometric models and financial practice, American Economic Review, 94 (2004), 405-420.
doi: 10.1257/0002828041464597. |
[5] |
H. Föllmer and M. Schweizer, Hedging of contingent claims under incomplete information, in Applied Stochastic Analysis (eds. M. Davis and R. Elliott), Gordon and Breach, (1991), 389-414. |
[6] |
P. Foschi, S. Pagliarani and A. Pascucci, Approximations for Asian options in local volatility models, Journal of Computational and Applied Mathematics, 237 (2013), 442-459.
doi: 10.1016/j.cam.2012.06.015. |
[7] |
G. Fusai and A. Meucci, Pricing discretely monitored Asian options under Lévy processes, Journal of Banking and Finance, 32 (2008), 2076-2088.
doi: 10.1016/j.jbankfin.2007.12.027. |
[8] |
S. Hodges and A. Neuberger, Optimal replication of contingent claims under transactions costs, Review of Forward Markets, 8 (1989), 222-239. |
[9] |
F. Hubalek, J. Kallsen and L. Karwczyk, Variance-optimal hedging for processes with stationary independent increments, Annals of Applied Probability, 16 (2006), 853-885.
doi: 10.1214/105051606000000178. |
[10] |
F. Hubalek and C. Sgarra, On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps, Journal of Computational and Applied Mathematics, 235 (2011), 3355-3365.
doi: 10.1016/j.cam.2011.01.049. |
[11] |
B. Kim and I. S. Wee, Pricing of geometric Asian options under Heston's stochastic volatility model, Quantitative Finance.
doi: 10.1080/14697688.2011.596844. |
[12] |
D. Schweizer, Variance-optimal hedging in discrete time, Mathematics of Operations Research, 20 (1995), 1-32.
doi: 10.1287/moor.20.1.1. |
[13] |
X. Wang and Y. Wang, Variance-optimal hedging for target volatility options, Journal of Industrial and Management Optimization, 10 (2014), 207-218.
doi: 10.3934/jimo.2014.10.207. |
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