Geodesic
The hedging strategy for Asian option
Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 56 (2018), pp. 29-41

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The article deals with the problem of portfolio investment in the Black–Scholes model with several risky assets. The hedging strategy for Asian option is found using the martingale method. The analytical properties (differentiability) of the densities of exponential random variables are studied.
Keywords: hedging strategy, Asian option, stochastic differential equations, Brownian motion, Black and Scholes model. 
@article{VTGU_2018_56_a2,
     author = {A. A. Shishkova},
     title = {The hedging strategy for {Asian} option},
     journal = {Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika},
     pages = {29--41},
     publisher = {mathdoc},
     number = {56},
     year = {2018},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/VTGU_2018_56_a2/}
}
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A. A. Shishkova. The hedging strategy for Asian option. Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 56 (2018), pp. 29-41. http://geodesic.mathdoc.fr/item/VTGU_2018_56_a2/