THE HEDGING STRATEGY FOR ASIAN OPTION
Хеджирующая стратегия для азиатского опциона

А.А. Shishkova
2018 Vestnik Tomskogo gosudarstvennogo universiteta Matematika i mekhanika  
The article deals with the problem of portfolio investment in the Black-Scholes model with several risky assets. The hedging strategy for Asian option is found using the martingale method. The analytical properties (differentiability) of the densities of exponential random variables are studied.
doi:10.17223/19988621/56/3 fatcat:lvxci2fo4vd3tf4wjxk3g2dq7m