Static hedging of Asian options under Levy models: the comonotonicity approach

Hansjörg Albrecher, Jan Dhaene, Marc Goovaerts, Wim Schoutens

Research output: Contribution to journal › Article

Cite this

@article{f44c7f86b2904f37803ec154febe8cd7,

title = "Static hedging of Asian options under Levy models: the comonotonicity approach",

author = "Hansj{\"o}rg Albrecher and Jan Dhaene and Marc Goovaerts and Wim Schoutens",

year = "2005",

language = "English",

volume = "12",

pages = "63--72",

journal = "The journal of derivatives",

issn = "1074-1240",

publisher = "Institutional Investor, Inc",

number = "3",

}