Optimal hedging of asian options
The Black-Scholes option pricing model (1973) illustrates the modern theories of option valuation and hedging strategy. Black and Scholes used geometric Brownian motion to model stock price dynamics and proposed a delta-neutral hedging portfolio. The Black-Sholes model is based on the concepts of ri...
Saved in:
Main Author: | |
---|---|
Other Authors: | |
Format: | Final Year Project |
Language: | English |
Published: |
2010
|
Subjects: | |
Online Access: | http://hdl.handle.net/10356/40354 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Nanyang Technological University |
Language: | English |