# American Institute of Mathematical Sciences

October  2014, 10(4): 1209-1224. doi: 10.3934/jimo.2014.10.1209

## 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

Received  May 2013 Revised  December 2013 Published  February 2014

In this work, we consider a variance-optimal hedging strategy for discretely sampled geometric Asian options, under exponential Lévy dynamics. Since it is difficult to hedge these instruments perfectly, here we choose to maximize a quadratic utility function and give the expressions of hedging strategies explicitly, based on the derived Föllmer-Schweizer decomposition of the contingent claim of geometric Asian options monitored at discrete times. The expression of its corresponding error is also given.
Citation: Xingchun Wang, Yongjin Wang. Hedging strategies for discretely monitored Asian options under Lévy processes. Journal of Industrial & Management Optimization, 2014, 10 (4) : 1209-1224. doi: 10.3934/jimo.2014.10.1209
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##### References:
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