Abstract
In this work, we consider a variance-optimal hedging strategy for discretely sampled geometric Asian options, under exponential Levy dynamics. Since it is difficult to hedge these instruments perfectly, here we choose to maximize a quadratic utility function and give the expressions of hedging strategies explicitly, based on the derived Follmer-Schweizer decomposition of the contingent claim of geometric Asian options monitored at discrete times. The expression of its corresponding error is also given.
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