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Delta-gamma-theta Hedging of Crude Oil Asian Options
2015
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
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Results, conducted on chosen commodity, confi rm better feasibility of Asian options compering with vanilla options in sense of gamma hedging. ...
Goal of this paper is to derive delta-gamma-theta hedging strategy for Asian options and compere its effi ciency with gamma-delta-theta hedging combined with predictive model. ...
vzniku fi nančních krizí " (Student Project Grant at MU, Faculty of Economics and Administration, Department of Finance) is gratefully acknowledged. ...
doi:10.11118/actaun201563061897
fatcat:5bsunxvfhvh2xkqc554tp6dhom
Delta-gamma-theta Hedging of Crude Oil Asian Options
2015
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
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Results, conducted on chosen commodity, confi rm better feasibility of Asian options compering with vanilla options in sense of gamma hedging. ...
Goal of this paper is to derive delta-gamma-theta hedging strategy for Asian options and compere its effi ciency with gamma-delta-theta hedging combined with predictive model. ...
vzniku fi nančních krizí " (Student Project Grant at MU, Faculty of Economics and Administration, Department of Finance) is gratefully acknowledged. ...
doi:10.11118/201563061897
fatcat:wlspy25fffetbfhxkojek33mva
Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus
2011
Social Science Research Network
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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 and price of the Asian option as an analytic expression ...
We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. ...
Acknowledgments Zhaojun Yang is supported by National Natural Science Foundation of China (70971037) and Doctoral Fund of Ministry of Education of China (20100161110022). ...
doi:10.2139/ssrn.1427591
fatcat:jrdu2ciwbnflljgvff6kcww3j4
Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus
2011
Mathematical Methods of Operations Research
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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 and price of the Asian option as an analytic expression ...
We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. ...
Acknowledgments Zhaojun Yang is supported by National Natural Science Foundation of China (70971037) and Doctoral Fund of Ministry of Education of China (20100161110022). ...
doi:10.1007/s00186-011-0352-7
fatcat:itqtaxfxwfhbbe5fmjxwtebxiq
Estimation of Ask and Bid Prices for Geometric Asian Options
2019
Discrete Dynamics in Nature and Society
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In this paper, within the framework of conic finance, we provide a useful approach to evaluate the ask and bid prices of geometric Asian options and obtain the explicit formulas for the ask and bid prices ...
Conflicts of Interest The authors declare that there are no conflicts of interest regarding the publication of this paper.
Acknowledgments ...
Let the payoff of geometric Asian call option be = ( − ) + , with being the geometric average of the underlying asset price during the time to the maturity . ...
doi:10.1155/2019/6276250
fatcat:vye7oqiiqzgmfc5g2ynn7lkvwy
On the explicit evaluation of the Geometric Asian options in stochastic volatility models with jumps
2011
Journal of Computational and Applied Mathematics
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In the present paper we provide a semiexplicit valuation formula for Geometric Asian options, with fixed and floating strike under continuous monitoring, when the underlying stock price process exhibits ...
We shall provide some numerical illustrations of the results obtained. ...
The Hedging issue of Asian options has been considered in [12] , where a static strategy is examined. ...
doi:10.1016/j.cam.2011.01.049
fatcat:jnvanrmfwnbbpnvafnj664rltu
Financial valuation of guaranteed minimum withdrawal benefits
2006
Insurance, Mathematics & Economics
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Our main result is that the No Arbitrage hedging cost of a GMWB ranges from 73 to 160 basis points of assets. In contrast, most products in the market only charge 30-45 basis points. ...
We show how the product can be decomposed into a Quanto Asian Put plus a generic term-certain annuity. ...
Acknowledgments The authors would like to thank seminar participants at the University of Michigan and University of Illinois and an anonymous IME reviewer for comments as well as Anna Abaimova for helpful ...
doi:10.1016/j.insmatheco.2005.06.012
fatcat:ni6b6lamjze5djiuwuppe76hcy
Static Hedging of Standard Options
2004
Social Science Research Network
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We find that in all cases considered, a static hedge using just five calls outperforms daily delta hedging with the underlying futures. ...
In the portfolio of shorter term options, the portfolio weights do not vary with changes in stock price or time. ...
Hence, it would be of interest to compare the performance of daily delta hedging with the performance of the static hedge with 21 options.Our simulations of the underlying geometric Brownian motion indicate ...
doi:10.2139/ssrn.585451
fatcat:cvrutwapcbgivemstikl64lrci
Optimal Static Quadratic Hedging
[article]
2015
arXiv
pre-print
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To illustrate the versatility of our approach, we present several numerical examples, including hedging path-dependent options and options written on a correlated asset. ...
The optimal hedge involves computing a number of expectations that reflect the dependence among the contingent claim and the hedging assets. ...
Acknowledgments The authors are grateful to Peter Carr and Ronnie Sircar for a number of helpful discussions. ...
arXiv:1506.02074v2
fatcat:kqehayn5drbedi3qzbialyla6i
Structuring, pricing and hedging double-barrier step options
2001
Journal of Computational Finance
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Proportional and simple double-barrier step options are gradual knockout options with the principal amortized based on the occupation time outside of the range. ...
This paper studies derivative contracts with payoffs contingent on the amount of time the underlying asset price spends outside of a pre-speciÞed price range (occupation time). ...
Hedging
Problems with Dynamic Hedging of Barrier Options Consider an option hedger who sold a standard European call. ...
doi:10.21314/jcf.2001.090
fatcat:w4vdmml25vd5phmfkbkp62ougy
Generalized control variate methods for pricing Asian options
2010
Journal of Computational Finance
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In contrast, the conventional control by the geometric-average counterpart can be shown to reduce the variance of each source of randomness, though the counterpart option price has no closed-form solution ...
Clewlow and Carverhill [1] applied a financial intuition of delta hedging to build portfolio possibly with other Greeks hedge as controls in order to evaluate option prices. ...
Lai was partially supported by Natural Sciences and Engineering Research Council (NSERC) of Canada grant. C.H. Han is grateful for a discussion with Professor Ken Seng Tan at University of Waterloo. ...
doi:10.21314/jcf.2010.212
fatcat:ghhzndibi5hi5ckydonyvfrbvu
Pricing Formulae of Power Binary and Normal Distribution Standard Options and Applications
[article]
2019
arXiv
pre-print
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average Asian option converges to the price of continuous geometric average Asian option when the largest distance between neighboring monitoring times goes to zero is proved. ...
standard options" with the maturity payoff related to a power function and the density function of normal distribution is derived. ...
of (22) of continuous geometric average Asian options. ...
arXiv:1903.04106v1
fatcat:otfgwipwjnee5fgvilhxhjxile
A NOVEL REDUCTION OF THE SIMPLE ASIAN OPTION AND LIE-GROUP INVARIANT SOLUTIONS
2009
International Journal of Theoretical and Applied Finance
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We develop the complete 6-dimensional classical symmetry group of the partial differential equation (PDE) that governs the fair price of a simple Asian option within a simple market model. ...
the original 2+1 dimensional simple Asian option PDE to a 1+1 dimensional PDE). ...
Introduction An Asian option is an option whose payoff depends on a time average of the price of an underlying asset. ...
doi:10.1142/s0219024909005634
fatcat:xnkldylvtnholeuzfdogmdxtra
Pricing Barrier and Average Options Under Stochastic Volatility Environment
2009
Social Science Research Network
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Moreover, the paper combines a static hedging method with the asymptotic expansion method for pricing barrier options. ...
This paper proposes a new approximation method of pricing barrier and average options under stochastic volatility environment by applying an asymptotic expansion approach. ...
• (Example) In-the-money knock-out call with K = 90 and B = 100: A portfolio for static hedging of this option: (a) long one unit of a plain-vanilla call option with K = 90. ...
doi:10.2139/ssrn.1491937
fatcat:wood54qspfau3pt735qtmuaohq
On the use and improvement of Hull and White's control variate technique
2005
Applied Financial Economics
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role of so called static hedges as the best theoretical control variates. ...
of a complex option and we derive a better error correction fraction. ...
American options), both option payoffs should be highly correlated (geometric average vs. arithmetic average Asian options) or that their boundary conditions should be congruent (continuously vs. discretely ...
doi:10.1080/09603100500359195
fatcat:4rpapnc6jvd2fdnooxmsz5kaee
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