Static Hedging of Asian Options under Lévy Models

By Hansjörg Albrecher *, Jan Dhaene, Marc J. Goovaerts, Wim Schoutens. 2005

79 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/826de2dc65d62b3fd1afd1b52471bf8f3106326a

Citations in the corpus

• Comonotonic Approximations for Optimal Portfolio Selection Problems (2005, unknown): “Q+ p [X ]=s up{x ∈ R | FX(x) ≤ p} ,p ∈ (0,1), ( 2 )”
• General closed-form basket option pricing bounds (2016, unknown): “In this regard, Alexander and Venkatramanan (2012) derive a general analytic approximation for pricing basket options expressing each option’s price as a sum of the prices of various compound-exchange options. They derive an analytic approximation for the price of the compound-exchange option, first”