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asian options 1delta hedging 1local volatility 1malliavin calculus 1short-maturity asymptotics 1

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1 paper

q-fin.MF2026

Hedging short-maturity Asian options in local volatility models

Jiuk Jang, Jaehyun Kim, Hyungbin Park +1

The paper derives short‑maturity asymptotic formulas for Asian option prices and deltas in local volatility models using a Gaussian approximation and Malliavin calculus, and valida…