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...

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Bibliographic Details
Main Author: He, Shu.
Other Authors: Shu Jian Jun
Format: Final Year Project
Language:English
Published: 2010
Subjects:
Online Access:http://hdl.handle.net/10356/40354
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Institution: Nanyang Technological University
Language: English