Hedging of Asian options under exponential Lévy models: computation and performance
研究了指数Lévy模型下离散监测算术亚式期权的对冲问题，通过推导价格敏感性的后向递归积分，分析了delta和delta-gamma对冲策略在不完全市场中的表现，数值结果表明跳跃风险对对冲误差有显著影响，且加入交易期权可降低风险。
In this paper we consider the problem of hedging an arithmetic Asian option with discrete monitoring in an exponential Lévy model by deriving backward recursive integrals for the price sensitivities of the option. The procedure is applied to the analysis of the performance of the delta and delta–gamma hedges in an incomplete market; particular attention is paid to the hedging error and the impact of model error on the quality of the chosen hedging strategy. The numerical analysis shows the impact of jump risk on the hedging error of the option position, and the importance of including traded options in the hedging portfolio for the reduction of this risk.