Numerical Algorithm for Delta of Asian Option
Keyword(s):
We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution ofΔof Asian geometric option and use this analytical form as a control to numerically calculateΔof Asian arithmetic option, which is known to have no explicit close form solution. We implement our proposed numerical method and compare the standard error with other classical variance reduction methods. Our method provides an efficient solution to the hedging strategy with Asian options.
1997 ◽
Vol 12
(22)
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pp. 1597-1603
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2012 ◽
Vol 29
(5)
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pp. 719-723
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2011 ◽
Vol 21
(10)
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pp. 2853-2860
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1999 ◽
Vol 37
(8)
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pp. 945-959
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2016 ◽
Vol 86
(9)
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pp. 1633-1646
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1999 ◽
Vol 21
(5)
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pp. 466-476
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