Pages that link to "Item:Q3370590"
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The following pages link to EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH (Q3370590):
Displaying 41 items.
- Implied and realized volatility: empirical model selection (Q470518) (← links)
- Efficient discretization of stochastic integrals (Q471177) (← links)
- Hedging with small uncertainty aversion (Q503389) (← links)
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (Q605878) (← links)
- Discretization error of stochastic integrals (Q640062) (← links)
- Mean square error for the Leland-Lott hedging strategy: convex pay-offs (Q650775) (← links)
- On discrete time hedging errors in a fractional Black-Scholes model (Q681037) (← links)
- Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate (Q763624) (← links)
- When and how an error yields a Dirichlet form (Q860788) (← links)
- Explicit formulas for the minimal variance hedging strategy in a martingale case (Q965780) (← links)
- Asymptotic analysis of hedging errors in models with jumps (Q1019621) (← links)
- Optimal rebalancing frequencies for multidimensional portfolios (Q1744200) (← links)
- Error distributions for random grid approximations of multidimensional stochastic integrals (Q1948705) (← links)
- Higher-order error estimates of the discrete-time Clark-Ocone formula (Q2100007) (← links)
- A scaling limit for utility indifference prices in the discretised Bachelier model (Q2120544) (← links)
- Effectiveness of CPPI strategies under discrete-time trading (Q2271619) (← links)
- Asymptotics for discrete time hedging errors under fractional Black-Scholes models (Q2322589) (← links)
- Asymptotics for fixed transaction costs (Q2339123) (← links)
- On \(L^{2}\) modulus of continuity of Brownian local times and Riesz potentials (Q2352760) (← links)
- Discretization error of irregular sampling approximations of stochastic integrals (Q2362940) (← links)
- Move-based hedging of variable annuities: a semi-analytic approach (Q2374095) (← links)
- A discrete-time Clark-Ocone formula and its application to an error analysis (Q2412512) (← links)
- Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
- Asymptotically optimal discretization of hedging strategies with jumps (Q2454402) (← links)
- Estimation and prediction of a non-constant volatility (Q2471733) (← links)
- Almost sure optimal hedging strategy (Q2511561) (← links)
- A discrete-time Clark-Ocone formula for Poisson functionals (Q2515784) (← links)
- Optimal Discretization of Hedging Strategies with Directional Views (Q2797752) (← links)
- Fitted finite volume method for pricing CO<sub>2</sub>futures option based on the underlying with non-log-normal distribution (Q2804500) (← links)
- An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs (Q2873539) (← links)
- Asymptotically Efficient Discrete Hedging (Q2909990) (← links)
- Gas Storage Hedging (Q2917445) (← links)
- TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS (Q3100991) (← links)
- Evaluating discrete dynamic strategies in affine models (Q4683013) (← links)
- THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY (Q4906531) (← links)
- Hedging error estimate of the american put option problem in jump-diffusion processes (Q5024445) (← links)
- Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion (Q5086430) (← links)
- On Suboptimality of Delta Hedging for Asian Options (Q5258450) (← links)
- Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation (Q5372053) (← links)
- A note on convergence of an approximate hedging portfolio with liquidity risk (Q5421590) (← links)
- Hedging Option Books Using Neural-SDE Market Models (Q6112769) (← links)
