EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (Q3370590): Difference between revisions

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+Option replication with transaction costs: general diffusion limits
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+Realized Beta: Persistence and Predictability
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+Minimum-Relative-Entropy Calibration of Asset-Pricing Models
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+Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
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+Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
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+Local parametric analysis of hedging in discrete time
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+Error Calculus and Path Sensitivity in Financial Models
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+Q4794153
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+Robustness of the Black and Scholes Formula
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+Quantile hedging
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+Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
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+On approximation of a class of stochastic integrals and interpolation
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+Quantitative approximation of certain stochastic integrals
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+Leland's Approach to Option Pricing: The Evolution of a Discontinuity
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+Volatility misspecification, option pricing and superreplication via coupling
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+Explicit form and robustness of martingale representations.
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+On Leland's strategy of option pricing with transactions costs
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+Q4368791
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+Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
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+Conservative delta hedging.
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+Financial options and statistical prediction intervals
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+The interpolation of options
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+Limit theorem for Leland's strategy
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+Weak convergence of financial markets.
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+Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
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+Analysis of Error with Malliavin Calculus: Application to Hedging
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+Malliavin calculus and asymptotic expansion for martingales
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