英文摘要 |
In this paper, we propose several Quanto Forward-Start Asian options for investors who wish to hedge both currency risk and the risk of being possibly manipulated by some market participants. Although Asian options have no closed-form solutions, we try to find the “approximate” closed-form solution and compute hedge parameters for them. In addition, we also determine the upper bound of maximum estimation error of our pricing model. The numerical results show that the difference between the first-order and the second-order Taylor’s expansion of approximate closed-form solution is not significant when the volatility is small. Under this circumstance, we can simply use first-order Taylor’s expansion of approximate closed-form solution. However, second-order Taylor’s expansion of approximate closed-form solution is employed when the volatility is large. |