Pricing and Hedging of Asian Options : Quasi-Explicit Solutions via Malliavin Calculus

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form, expression. Numerical computations which are based on this expression are provided

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Year of publication:	2013
Authors:	Yang, Zhaojun
Other Persons:	Ewald, Christian-Oliver (contributor) ; Menkens, Olaf (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Hedging \| Optionspreistheorie \| Option pricing theory \| Optionsgeschäft \| Option trading \| Finanzmarkt \| Financial market \| Ökonometrie \| Econometrics

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Extent:	1 Online-Ressource (39 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Mathematical Methods of Operations Research, Volume 74, Number 1, pp. 93-120, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 14, 2011 erstellt
Other identifiers:	10.2139/ssrn.1427591 [DOI]
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; C40 - Econometric and Statistical Methods: Special Topics. General ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013095807