Delta-gamma-theta Hedging of Crude Oil Asian Options
Since Black-Scholes formula was derived, many methods have been suggested for vanilla as well as exotic options pricing. More of investing and hedging strategies have been developed based on these pricing models. Goal of this paper is to derive delta-gamma-theta hedging strategy for Asian options an...
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| Format: | Article |
| Language: | English |
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Mendel University Press
2015-01-01
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| Series: | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
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| Online Access: | https://acta.mendelu.cz/63/6/1897/ |