TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS (Q3100991)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS |
scientific article |
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TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS (English)
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22 November 2011
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exponential Lévy models
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quadratic hedging
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delta hedging
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discretization error
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\(L^{2}\) convergence
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digital options
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