Open AccessHedging strategies for discretely monitored Asian options under Lévy processes
Author(s) -
Xingchun Wang,
Yongjin Wang
Publication year - 2014
Publication title -
journal of industrial and management optimization
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2014.10.1209
Subject(s) - hedge , asian option , quadratic equation , expression (computer science) , variance (accounting) , function (biology) , decomposition , mathematical optimization , mathematical economics , mathematics , econometrics , work (physics) , computer science , economics , valuation of options , mechanical engineering , ecology , geometry , accounting , evolutionary biology , engineering , biology , programming language
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