Static hedging of Asian options under Lévy models

Journal of Derivatives

Volumn 12, Issue 3, 2005, Pages 63-72

  Albrecher, Hansjörg ^a   Dhaene, Jan ^b   Goovaerts, Marc ^b   Schoutens, Wim ^b  

^a GRAZ UNIVERSITY OF TECHNOLOGY   (Austria)

^b UNIVERSITY OF LEUVEN   (Belgium)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 20744453440     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2005.479381     Document Type: Article

References (29)

1. Albrecher, H., and M. Predota. "On Asian Option Pricing for NIG Lévy Processes." Journal of Computational and Applied Mathematics, 172(2004), pp. 153-168.
2. -. "Bounds and Approximations for Discrete Asian Options in a Variance-Gamma Model." Grazer Math. Ber., 345(2002), pp. 35-57.
3. Barndorff-Nielsen, O. E. "Normal Inverse Gaussian Distributions and the Modeling of Stock Returns." Research Report No. 300, Department of Theoretical Statistics, Aarhus University, 1995.
4. Benhamou, E. "Fast Fourier Transform for Discrete Asian Options." Journal of Computational Finance, 6 (2002).
5. Bertoin, J. Lévy Processes. Cambridge Tracts in Mathematics, 121. Cambridge: Cambridge University Press, 1996.
6. Broadie, M., and P. Glasserman. "Estimating Security Price Derivatives Using Simulation. " Management Science, 42(1996), pp. 269-285.
7. Broadie, M., P. Glasserman, and and S. G. Kou. "Connecting Discrete and Continuous Path-Dependent Options." Finance and Stochastics, 3(1999), pp. 55-82.
8. Carr, P., K. Ellis, and V. Gupta. "Static Hedging of Exotic Options." Journal of Finance, 53(1998), pp. 1165-1190.
9. Carr, P., and D. Madan. "Option Valuation Using the Fast Fourier Transform." Journal of Computational Finance, 2(1998), pp. 61-73.
10. Carr, P., and J. Picron. "Static Hedging of Timing Risk." The Journal of Derivatives, 6(1999), pp. 57-70.
11. Dewynne, J., and P. Wilmott. "Partial to the Exotic." Risk, 6(1993), pp. 40-44.
12. Dhaene, J., M. Denuit, M. J. Goovaerts, R. Kaas, and D. Vyncke. "The Concept of Comonotonicity in Actuarial Science and Finance: Applications." Insurance Math. Econom., 31(2002a), pp. 133-161.
13. -. "The Concept of Comonotonicity in Actuarial Science and Finance: Theory." Insurance Math. Econom., 31(2002b), pp. 3-33.
14. Grigelionis, B. "Processes of Meixner Type." Lith. Math. J., 39(1999), pp. 33-41.
15. Madan, D. B., P. Carr, and E. C. Chang. "The Variance Gamma Process and Option Pricing." European Finance Review, 2(1998), pp. 79-105.
16. Madan, D. B., and F. Milne. "Option Pricing with V. G. Martingale Components." Mathematical Finance, 1(1991), pp. 39-55.
17. Madan, D. B., and E. Seneta. "The V. G. Model for Share Market Returns." Journal of Business, 63(1990), pp. 511-524.
18. Rydberg, T. "The Normal Inverse Gaussian Lévy Process: Simulation and Approximation. " Communications in Statistics: Stochastic Models, 13(1997), pp. 887-910.
19. Schoutens, W. Lévy Processes in Finance: Pricing Financial Derivatives. New York: Wiley, 2003.
20. -. "The Meixner Process: Theory and Applications in Finance." EURANDOM Report 2002-004, Eindhoven, 2002.
21. Schoutens, W., E. Simons, and J. Tistaert. "A Perfect Calibration! Now What?" Wilmott Magazine, March 2004.
22. Schoutens, W., and J. L. Teugels. "Lévy Processes, Polynomials and Martingales." Communications in Statistics: Stochastic Models, 14(1998), pp. 335-349.
23. Simon, S., M. Goovaerts, and J. Dhaene. "An Easy Computable Upper Bound for the Price of an Arithmetic Asian Option. " Insurance: Mathematics and Economics, 26(2000), pp. 175-183.
24. Turnbull, S., and L. Wakeman. "A Quick Algorithm for Pricing European Average Options." Journal of Financial and Quantitative Analysis, 26(1991), pp. 377-389.
25. Vanmaele, M., G. Deelstra, J. Liinev, J. Dhaene, and M. Goovaerts. "Bounds for the Price of Discretely Sampled Arithmetic Asian Options." Forthcoming, 2005.
26. Večeři, J. "A New PDE Approach for Pricing Arithmetic Average Asian Options." Journal of Computational Finance, 4(2001), pp. 105-113.
27. - "Unified Asian Pricing." Risk, 15(2002), pp. 113-116.
28. Večeř, J., and M. Xu. "Pricing Asian Options in a Semi-Martingale Model." Quant. Finance, 4(2004), pp. 170-175.
29. Vorst, T. C. F. "Prices and Hedge Ratios of Average Exchange Rate Options." International Review of Financial Analysis, 1(1992), pp. 179-193.