Numerical Algorithm for Delta of Asian Option

Abstract EN

We study the numerical solution of the Greeks of Asian options.

In particular, we derive a close form solution of Δ of Asian geometric option and use this analytical form as a control to numerically calculate Δ 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.