Efficient discretization of stochastic integrals (Q471177): Difference between revisions

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-.1007/s00780-013-0215-6
@@ Property / DOI: 10.1007/s00780-013-0215-6 / rank @@
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@@ Property / Mathematics Subject Classification ID: 60F05 / rank @@
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@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
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+6369503
@@ Property / zbMATH DE Number: 6369503 / rank @@
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@@ Property / zbMATH Keywords @@
+Itō integral
@@ Property / zbMATH Keywords: Itō integral / rank @@
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@@ Property / zbMATH Keywords @@
+Riemann sum
@@ Property / zbMATH Keywords: Riemann sum / rank @@
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@@ Property / zbMATH Keywords @@
+kurtosis
@@ Property / zbMATH Keywords: kurtosis / rank @@
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@@ Property / zbMATH Keywords @@
+skewness
@@ Property / zbMATH Keywords: skewness / rank @@
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@@ Property / zbMATH Keywords @@
+asymptotic efficiency
@@ Property / zbMATH Keywords: asymptotic efficiency / rank @@
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@@ Property / zbMATH Keywords @@
+discrete hedging
@@ Property / zbMATH Keywords: discrete hedging / rank @@
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+.0637
@@ Property / arXiv ID: 1204.0637 / rank @@
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+Martingale laws, densities and decomposition of Föllmer-Schweizer
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@@ Property / cites work @@
+Q2725576
@@ Property / cites work: Q2725576 / rank @@
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@@ Property / cites work @@
+Liquidity risk and arbitrage pricing theory
@@ Property / cites work: Liquidity risk and arbitrage pricing theory / rank @@
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@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
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@@ Property / cites work @@
+Mean square error for the Leland-Lott hedging strategy: convex pay-offs
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@@ Property / cites work @@
+Robustness of the Black and Scholes Formula
@@ Property / cites work: Robustness of the Black and Scholes Formula / rank @@
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@@ Property / cites work @@
+Realized volatility with stochastic sampling
@@ Property / cites work: Realized volatility with stochastic sampling / rank @@
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@@ Property / cites work @@
+Discretization error of stochastic integrals
@@ Property / cites work: Discretization error of stochastic integrals / rank @@
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@@ Property / cites work @@
+Asymptotically Efficient Discrete Hedging
@@ Property / cites work: Asymptotically Efficient Discrete Hedging / rank @@
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@@ Property / cites work @@
+On an approximation problem for stochastic integrals where random time nets do not help
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@@ Property / cites work @@
+Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
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@@ Property / cites work @@
+Q4311643
@@ Property / cites work: Q4311643 / rank @@
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@@ Property / cites work @@
+Almost sure optimal hedging strategy
@@ Property / cites work: Almost sure optimal hedging strategy / rank @@
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@@ Property / cites work @@
+Discrete time hedging errors for options with irregular payoffs
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@@ Property / cites work @@
+EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
@@ Property / cites work: EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH / rank @@
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@@ Property / cites work @@
+Q3774629
@@ Property / cites work: Q3774629 / rank @@
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@@ Property / cites work @@
+On pathwise stochastic integration
@@ Property / cites work: On pathwise stochastic integration / rank @@
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@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
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@@ Property / cites work @@
+Simulation of a space-time bounded diffusion
@@ Property / cites work: Simulation of a space-time bounded diffusion / rank @@
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@@ Property / cites work @@
+Limit distributions for the error in approximations of stochastic integrals
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@@ Property / cites work @@
+Asymptotically optimal discretization of hedging strategies with jumps
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@@ Property / cites work @@
+Asymptotic analysis of hedging errors in models with jumps
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@@ Property / cites work @@
+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Optimal hedging of options with small but  arbitrary transaction cost structure
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@@ Property / DOI @@
+.1007/S00780-013-0215-6
@@ Property / DOI: 10.1007/S00780-013-0215-6 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:471177