Yang, Zhaojun; Ewald, Christian-Oliver; Menkens, Olaf - In: Mathematical Methods of Operations Research 74 (2011) 1, pp. 93-120
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...