Asian options greeks

This is an open access article distributed under the Creative Commons Attribution License , which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Abstract We study the numerical solution of the Greeks of Asian options. In particular, we derive a close form solution of of Asian geometric option and use this analytical form as a control to numerically calculate of Asian arithmetic option, which is known to have no explicit close form solution. We implement our proposed numerical method and compare the standard error with other classical variance reduction methods. Our method provides an efficient solution to the hedging strategy with Asian options. Introduction Asian options are referred to as securities with payoffs that depend on the average of the underlying stock price over a time interval.
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