On the estimation of the hedging of the asset price involving the asian option
© 2016 Pushpa Publishing House. All rights reserved. In this paper, we study the hedging, particularly, the delta-hedging, the gamma-hedging and the theta-hedging of the asset price involving the Asian option. Actually, we know that the Asian option has no closed form. So, in this paper, we can esti...
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th-cmuir.6653943832-416632017-09-28T04:22:38Z On the estimation of the hedging of the asset price involving the asian option Dumrongpokaphan T. Kananthai A. © 2016 Pushpa Publishing House. All rights reserved. In this paper, we study the hedging, particularly, the delta-hedging, the gamma-hedging and the theta-hedging of the asset price involving the Asian option. Actually, we know that the Asian option has no closed form. So, in this paper, we can estimate such closed form solution from the partial differential equation involving such Asian option. We obtain the new result which is interesting and may be useful in the research area of financial mathematics. 2017-09-28T04:22:38Z 2017-09-28T04:22:38Z 2016-08-01 Journal 09720871 2-s2.0-84986551025 10.17654/MS100040537 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84986551025&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/41663 |
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© 2016 Pushpa Publishing House. All rights reserved. In this paper, we study the hedging, particularly, the delta-hedging, the gamma-hedging and the theta-hedging of the asset price involving the Asian option. Actually, we know that the Asian option has no closed form. So, in this paper, we can estimate such closed form solution from the partial differential equation involving such Asian option. We obtain the new result which is interesting and may be useful in the research area of financial mathematics. |
| format |
Journal |
| author |
Dumrongpokaphan T. Kananthai A. |
| spellingShingle |
Dumrongpokaphan T. Kananthai A. On the estimation of the hedging of the asset price involving the asian option |
| author_facet |
Dumrongpokaphan T. Kananthai A. |
| author_sort |
Dumrongpokaphan T. |
| title |
On the estimation of the hedging of the asset price involving the asian option |
| title_short |
On the estimation of the hedging of the asset price involving the asian option |
| title_full |
On the estimation of the hedging of the asset price involving the asian option |
| title_fullStr |
On the estimation of the hedging of the asset price involving the asian option |
| title_full_unstemmed |
On the estimation of the hedging of the asset price involving the asian option |
| title_sort |
on the estimation of the hedging of the asset price involving the asian option |
| publishDate |
2017 |
| url |
https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84986551025&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/41663 |
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