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Greeks of Asian pricing models
Does anyone know of a thorough investigation into the Greeks of the different Asian ARO pricing models?I've done a quick search of papers and forums and everything is price focused. I guess I'm looking for hedging with vanilla options and underlying, which model produces best hedge ratios.If nothing is out there it strikes me this would be a good undergraduate research project - building and testing Greeks of published models. Anyone think this would be useful to the community?(Sorry if this belongs in the 'Papers' forum - but that didn't look very Q/A)