Analysis of Error with Malliavin Calculus: Application to Hedging

DOI10.1111/1467-9965.00014zbMath1056.91035OpenAlexW3121598517MaRDI QIDQ4409046

Emmanuel Temam

Publication date: 2003

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

Full work available at URL: https://doi.org/10.1111/1467-9965.00014

zbMATH Keywords

Malliavin calculusdiscrete time hedging

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Statistical methods; economic indices and measures (91B82)

Related Items (11)

L²-convergence rate for the discretization error of functions of Lévy process ⋮ On the optimal approximation rate of certain stochastic integrals ⋮ A discrete-time Clark-Ocone formula and its application to an error analysis ⋮ Numerical error for SDE: Asymptotic expansion and hyperdistributions ⋮ Discrete approximation of finite-horizon American-style options ⋮ THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY ⋮ A discrete-time Clark-Ocone formula for Poisson functionals ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH ⋮ Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate ⋮ On Suboptimality of Delta Hedging for Asian Options ⋮ Higher-order error estimates of the discrete-time Clark-Ocone formula

Cites Work

• Limit distributions for the error in approximations of stochastic integrals
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