An asymptotic decomposition of hedging errors

MaRDI QIDQ2372599zbMATH OpenFDO

Authors Seongjoo Song, Per Aslak Mykland

Publication date 31 July 2007

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

zbMATH Keywords

weak convergencecompound Poisson processhedging error

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Recommendations

• Asymptotic analysis of hedging errors in models with jumps
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
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Cited in

(6)

• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
• Stability and asymptotic analysis of the Föllmer-Schweizer decomposition on a finite probability space
• Asymptotic option price with bounded expected loss
• Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
• Asymptotic analysis of hedging errors in models with jumps

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