THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY (Q4906531): Difference between revisions

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+Azmi Makhlouf
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+MaRDI publication profile
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+https://doi.org/10.1111/j.1467-9965.2010.00466.x
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+W3123841841
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@@ Property / cites work @@
+On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case
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+Discrete time hedging errors for options with irregular payoffs
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+EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
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+On Leland's strategy of option pricing with transactions costs
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+Limit theorem for Leland's strategy
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+Analysis of Error with Malliavin Calculus: Application to Hedging
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