Exploding hedging errors for digital options

DOI10.1007/S007800050057zbMath0929.60036OpenAlexW2022836897MaRDI QIDQ1297920

Christopher Gallus

Publication date: 14 September 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050057

zbMATH Keywords

option pricingdigital option hedginghedging error

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic processes (60G99) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Hedging at-the-money digital options near maturity ⋮ ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES

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