Filters








499 Hits in 3.1 sec

Delta-gamma-theta Hedging of Crude Oil Asian Options

Juraj Hruška
2015 Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis  
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

Juraj Hruška
2015 Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis  
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

Zhaojun Yang, Christian-Oliver Ewald, Olaf Menkens
2011 Social Science Research Network  
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

Zhaojun Yang, Christian-Oliver Ewald, Olaf Menkens
2011 Mathematical Methods of Operations Research  
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

Tao Chen, Kaili Xiang, Xuemei Luo
2019 Discrete Dynamics in Nature and Society  
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

Friedrich Hubalek, Carlo Sgarra
2011 Journal of Computational and Applied Mathematics  
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

Moshe A. Milevsky, Thomas S. Salisbury
2006 Insurance, Mathematics & Economics  
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

Peter P. Carr, Liuren Wu
2004 Social Science Research Network  
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]

Tim Leung, Matthew Lorig
2015 arXiv   pre-print
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

Dmitry Davydov, Vadim Linetsky
2001 Journal of Computational Finance  
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

Chuan-Hsiang Han, Yongzeng Lai
2010 Journal of Computational Finance  
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]

Hyong-Chol O, Dae-Sung Choe
2019 arXiv   pre-print
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

STEPHEN TAYLOR, SCOTT GLASGOW
2009 International Journal of Theoretical and Applied Finance  
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

Kenichiro Shiraya, Akihiko Takahashi, Masashi Toda
2009 Social Science Research Network  
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

San-Lin Chung, Mark B. Shackleton
2005 Applied Financial Economics  
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
« Previous Showing results 1 — 15 out of 499 results