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~person:"Ewald, Christian-Oliver"
~person:"Korn, Ralf"
~subject:"Econometrics"
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Ewald, Christian-Oliver
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Pricing and Hedging of Asian Options : Quasi-Explicit Solutions via Malliavin Calculus
Yang, Zhaojun
-
2013
We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call
option
… motion, which allows us to express hedging strategy and price of the Asian
option
as an analytic, that is closed form …
Persistent link: https://www.econbiz.de/10013095807
Saved in:
2
Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin Calculus
Yang, Zhaojun
;
Ewald, Christian-Oliver
;
Menkens, Olaf
-
2009
Persistent link: https://www.econbiz.de/10003884274
Saved in:
3
Pricing and hedging of Asian options : quasi-explicit solutions via Malliavin calculus
Yang, Zhaojun
;
Ewald, Christian-Oliver
;
Menkens, Olaf
- In:
Mathematical methods of operations research
74
(
2011
)
1
,
pp. 93-120
Persistent link: https://www.econbiz.de/10009270422
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