EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH

DOI10.1111/J.0960-1627.2005.00221.XzbMath1153.91505OpenAlexW3125983424MaRDI QIDQ3370590

Takaki Hayashi, Per Aslak Mykland

Publication date: 8 February 2006

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00221.x

zbMATH Keywords

weak convergenceincomplete marketnonparametric regressionmodel uncertaintydelta hedging

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites Work

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