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

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+Martingale laws, densities and decomposition of Föllmer-Schweizer
+Normal rank
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+Q2725576
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+Normal rank
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+Liquidity risk and arbitrage pricing theory
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+Normal rank
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+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
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+Mean square error for the Leland-Lott hedging strategy: convex pay-offs
+Normal rank
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+Robustness of the Black and Scholes Formula
@@ Property / cites work: Robustness of the Black and Scholes Formula / rank @@
+Normal rank
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+Realized volatility with stochastic sampling
@@ Property / cites work: Realized volatility with stochastic sampling / rank @@
+Normal rank
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+Discretization error of stochastic integrals
@@ Property / cites work: Discretization error of stochastic integrals / rank @@
+Normal rank
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+Asymptotically Efficient Discrete Hedging
@@ Property / cites work: Asymptotically Efficient Discrete Hedging / rank @@
+Normal rank
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+On an approximation problem for stochastic integrals where random time nets do not help
+Normal rank
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+Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
+Normal rank
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+Q4311643
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+Normal rank
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+Almost sure optimal hedging strategy
@@ Property / cites work: Almost sure optimal hedging strategy / rank @@
+Normal rank
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+Discrete time hedging errors for options with irregular payoffs
+Normal rank
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+EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
@@ Property / cites work: EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH / rank @@
+Normal rank
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+Q3774629
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+Normal rank
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+On pathwise stochastic integration
@@ Property / cites work: On pathwise stochastic integration / rank @@
+Normal rank
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+Q4002114
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+Normal rank
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+Simulation of a space-time bounded diffusion
@@ Property / cites work: Simulation of a space-time bounded diffusion / rank @@
+Normal rank
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+Limit distributions for the error in approximations of stochastic integrals
+Normal rank
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+Asymptotically optimal discretization of hedging strategies with jumps
+Normal rank
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+Asymptotic analysis of hedging errors in models with jumps
+Normal rank
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+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
+Normal rank
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+Optimal hedging of options with small but  arbitrary transaction cost structure
+Normal rank