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The hedging strategy for Asian option A. A. Shishkova

By: Shishkova, Alena AMaterial type: ArticleArticleOther title: Хеджирующая стратегия для азиатского опциона [Parallel title]Subject(s): хеджирующая стратегия | азиатский опцион | Блэка-Шоулса модель | стохастические дифференциальные уравнения | броуновское движениеGenre/Form: статьи в журналах Online resources: Click here to access online In: Вестник Томского государственного университета. Математика и механика № 56. С. 29-41Abstract: 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.
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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.

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