Quantitative approximation of certain stochastic integrals

DOI10.1080/1045112021000025934zbMath1013.60031OpenAlexW2019115946WikidataQ110032330 ScholiaQ110032330MaRDI QIDQ4799382

Stefan Geiss

Publication date: 18 June 2003

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1045112021000025934

zbMATH Keywords

stochastic integralsstochastic financequantitative approximation

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Related Items

A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ Asymptotically Efficient Discrete Hedging ⋮ Interpolation and approximation in \(L_{2}(\gamma )\) ⋮ Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion ⋮ A note on Malliavin fractional smoothness for Lévy processes and approximation ⋮ Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces ⋮ Is the approximation rate for European pay-offs in the Black-Scholes model always \(1/\sqrt n\)? ⋮ Mean square error for the Leland-Lott hedging strategy: convex pay-offs ⋮ Stochastic moment problem and hedging of generalized Black-Scholes options ⋮ THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY ⋮ On discrete time hedging errors in a fractional Black-Scholes model ⋮ Deterministic quadrature formulas for SDEs based on simplified weak Itô-Taylor steps ⋮ Decoupling on the Wiener Space, Related Besov Spaces, and Applications to BSDEs ⋮ On an approximation problem for stochastic integrals where random time nets do not help ⋮ Weighted BMO and discrete time hedging within the Black-Scholes model ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH ⋮ Asymptotic analysis of hedging errors in models with jumps ⋮ Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate ⋮ TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS ⋮ Asymptotics for discrete time hedging errors under fractional Black-Scholes models ⋮ On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space ⋮ Higher-order error estimates of the discrete-time Clark-Ocone formula