We give 2 explicit formulae for the hedging portfolio of Asian options. One is based on the usual Lognormal approximation, and the other on an Inverse Gaussian approximation. Both give excellent results as replicating strategies when the parameters of the model are in a reasonable range.
No takes yet. Share an insight, caveat, or question.
Michel Jacques (1996) studied this question.
Synapse has enriched 2 closely related papers on similar clinical questions. Consider them for comparative context: