Numerical Algorithm for Delta of Asian Option
We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of Δ of Asian geometric option and use this analytical form as a control to numerically calculate Δ of Asian arithmetic option, which is known to have no explicit close form solution. We im...
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| Format: | Article |
| Language: | English |
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Wiley
2015-01-01
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| Series: | The Scientific World Journal |
| Online Access: | http://dx.doi.org/10.1155/2015/692847 |
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| author | Boxiang Zhang Yang Yu Weiguo Wang |
| author_facet | Boxiang Zhang Yang Yu Weiguo Wang |
| author_sort | Boxiang Zhang |
| collection | DOAJ |
| description | We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of Δ of Asian geometric option and use this analytical form as a control to numerically calculate Δ of Asian arithmetic option, which is known to have no explicit close form solution. We implement our proposed numerical method and compare the standard error with other classical variance reduction methods. Our method provides an efficient solution to the hedging strategy with Asian options. |
| format | Article |
| id | doaj-art-502a70971fa64e0384915f6703c600b8 |
| institution | Kabale University |
| issn | 2356-6140 1537-744X |
| language | English |
| publishDate | 2015-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | The Scientific World Journal |
| spelling | doaj-art-502a70971fa64e0384915f6703c600b82025-02-03T01:31:37ZengWileyThe Scientific World Journal2356-61401537-744X2015-01-01201510.1155/2015/692847692847Numerical Algorithm for Delta of Asian OptionBoxiang Zhang0Yang Yu1Weiguo Wang2School of Economics, Dongbei University of Finance and Economics, 217 Jianshan Street, Dalian, Liaoning 116023, ChinaSchool of Economics, Dongbei University of Finance and Economics, 217 Jianshan Street, Dalian, Liaoning 116023, ChinaSchool of Economics, Dongbei University of Finance and Economics, 217 Jianshan Street, Dalian, Liaoning 116023, ChinaWe study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of Δ of Asian geometric option and use this analytical form as a control to numerically calculate Δ of Asian arithmetic option, which is known to have no explicit close form solution. We implement our proposed numerical method and compare the standard error with other classical variance reduction methods. Our method provides an efficient solution to the hedging strategy with Asian options.http://dx.doi.org/10.1155/2015/692847 |
| spellingShingle | Boxiang Zhang Yang Yu Weiguo Wang Numerical Algorithm for Delta of Asian Option The Scientific World Journal |
| title | Numerical Algorithm for Delta of Asian Option |
| title_full | Numerical Algorithm for Delta of Asian Option |
| title_fullStr | Numerical Algorithm for Delta of Asian Option |
| title_full_unstemmed | Numerical Algorithm for Delta of Asian Option |
| title_short | Numerical Algorithm for Delta of Asian Option |
| title_sort | numerical algorithm for delta of asian option |
| url | http://dx.doi.org/10.1155/2015/692847 |
| work_keys_str_mv | AT boxiangzhang numericalalgorithmfordeltaofasianoption AT yangyu numericalalgorithmfordeltaofasianoption AT weiguowang numericalalgorithmfordeltaofasianoption |