On Suboptimality of Delta Hedging for Asian Options-Reference-Cited by-同舟云学术

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On Suboptimality of Delta Hedging for Asian Options

Published:2015-01 Issue:1 Volume:6 Page:352-385
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Kolkiewicz Adam W.

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

http://epubs.siam.org/doi/pdf/10.1137/130914760

Reference18 articles.

1. Measuring the error of dynamic hedging: a Laplace transform approach

2. Discretely adjusted option hedges

3. Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach

4. When is time continuous?

5. On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. EFFICIENT HEDGING OF PATH–DEPENDENT OPTIONS;International Journal of Theoretical and Applied Finance;2016-07-29

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