Optimal hedging of asian options
The Black-Scholes option pricing model (1973) illustrates the modern theories of option valuation and hedging strategy. Black and Scholes used geometric Brownian motion to model stock price dynamics and proposed a delta-neutral hedging portfolio. The Black-Sholes model is based on the concepts of ri...
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| Format: | Final Year Project (FYP) |
| Language: | English |
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2010
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| Online Access: | http://hdl.handle.net/10356/40354 |