On the Microstructural Hedging Error (Q3580033)

From MaRDI portal
Revision as of 23:43, 19 March 2024 by Openalex240319060354 (talk | contribs) (Set OpenAlex properties.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
On the Microstructural Hedging Error
scientific article

    Statements

    title
    On the Microstructural Hedging Error (English)
    0 references
    author
    Christian Y. Robert
    0 references
    Mathieu Rosenbaum
    0 references
    publication date
    11 August 2010
    0 references
    zbMATH Keywords
    continuous-time processes
    0 references
    limit theorems for martingales
    0 references
    stable convergence in law
    0 references
    microstructure noise
    0 references
    discrete hedging
    0 references
    endogenous trading times
    0 references

    Identifiers

    DOI
    10.1137/090764578
    0 references
    Mathematics Subject Classification ID
    91G20
    0 references
    91G10
    0 references
    60F05
    0 references
    62P05
    0 references
    91B70
    0 references
    zbMATH DE Number
    5769046
    0 references
    OpenAlex ID
    W2088295319
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q3580033&oldid=32234284"
    Powered by MediaWiki