Optimal Discretization of Hedging Strategies with Directional Views

DOI10.1137/151004306zbMath1348.60098arXiv1407.4570OpenAlexW1650671799MaRDI QIDQ2797752

Peter Tankov, Mathieu Rosenbaum, Jiatu Cai, Masaaki Fukasawa

Publication date: 31 March 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.4570

zbMATH Keywords

discretizationsemimartingaleshitting timeslimit theoremshedging strategiesasymptotic optimalitylinear-quadratic optimal control problemdelta hedgingexpectation-error criterion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Functional limit theorems; invariance principles (60F17) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (2)

A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ Optimal Hedging of a Perpetual American Put with a Single Trade

Cites Work

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