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

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+On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case
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+Applications of Malliavin calculus to Monte Carlo methods in finance
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+\(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
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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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+Robustness of the Black and Scholes Formula
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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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