Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第40回ISCIE「確率システム理論と応用」国際シンポジウム(2008年11月, 京都)
Delta-Gamma-Vega Hedged Portfolio of Exotic Option by Malliavin Calculus
Yoshimasa MatsudaAkira Ichikawa
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2009 年 2009 巻 p. 366-371

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In this paper, we derive the Greeks of Asian option by Malliavin calculus and apply to replicate portfolios. We use four hedging strategies to make replicate portfolio and compare their hedging performances. Using real makert data, we verify their effectiveness.
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© 2009 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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