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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Main Authors:	T. Dumrongpokaphan, A. Kananthai
Format:	Journal
Published:	2018
Subjects:	Mathematics
Online Access:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84986551025&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55943
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Institution:	Chiang Mai University

id	th-cmuir.6653943832-55943
record_format	dspace
spelling	th-cmuir.6653943832-559432018-09-05T03:06:14Z On the estimation of the hedging of the asset price involving the asian option T. Dumrongpokaphan A. Kananthai Mathematics © 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. 2018-09-05T03:06:14Z 2018-09-05T03:06:14Z 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/6653943832/55943
institution	Chiang Mai University
building	Chiang Mai University Library
country	Thailand
collection	CMU Intellectual Repository
topic	Mathematics
spellingShingle	Mathematics T. Dumrongpokaphan A. Kananthai On the estimation of the hedging of the asset price involving the asian option
description	© 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	T. Dumrongpokaphan A. Kananthai
author_facet	T. Dumrongpokaphan A. Kananthai
author_sort	T. Dumrongpokaphan
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	2018
url	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84986551025&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/55943
_version_	1681424599682646016

On the estimation of the hedging of the asset price involving the asian option

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