The Greek parameters of a continuous arithmetic Asian option pricing model via Laplace Adomian decomposition method
The Greek parameters in option pricing are derivatives used in hedging against option risks. In this paper, the Greeks of the continuous arithmetic Asian option pricing model are derived. The derivation is based on the analytical solution of the continuous arithmetic Asian option model obtained via...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2018-12-01
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| Series: | Open Physics |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/phys-2018-0097 |