Abstract
We give 2 explicit formulae for the hedging portfolio of Asian options. One is based on the usual Lognormal approximation, and the other on an Inverse Gaussian approximation. Both give excellent results as replicating strategies when the parameters of the model are in a reasonable range.
Volume
26:2
Page
165-184
Year
1996
Categories
Financial and Statistical Methods
Asset and Econometric Modeling
Asset Classes
Other Securities
Actuarial Applications and Methodologies
Investments
Portfolio Strategy
Practice Areas
International Areas
Publications
ASTIN Bulletin
