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:	2009-09
Authors:	Yang, Zhaojun ; Ewald, Christian-Oliver ; Menkens, Olaf
Institutions:	Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews
Subject:	Asian options \| option pricing \| hedging \| Malliavin calculus

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Extent:	application/pdf
Series:	CRIEFF Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 0910
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005017306