Journal ArticleOPEN ACCESS

On the Hedging Portfolio of Asian Options

  • Jacques M
ASTIN Bulletin (1996) 26(2) 165-183
DOI: 10.2143/ast.26.2.563217
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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.

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APA

Jacques, M. (1996). On the Hedging Portfolio of Asian Options. ASTIN Bulletin, 26(2), 165–183. https://doi.org/10.2143/ast.26.2.563217

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