Asymptotically efficient discrete hedging

DOI10.1007/978-3-0348-0097-6_19MaRDI QIDQ2909990zbMATH OpenOpenAlexFDO

Authors Masaaki Fukasawa

Publication date 7 September 2012

Published in Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-0348-0097-6_19

zbMATH Keywords

asymptotic efficiencystopping timeRiemann sumdiscrete hedging

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) (L^p)-limit theorems (60F25)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Asymptotic analysis of hedging errors in models with jumps
• Discrete time hedging errors for options with irregular payoffs
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Limit distributions for the error in approximations of stochastic integrals
• On pathwise stochastic integration
• Quantitative approximation of certain stochastic integrals

Cited in

(24)

• L 2 -discrete hedging in a continuous-time model
• Asymptotics for fixed transaction costs
• Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
• Optimal discrete hedging in Garman-Kohlhagen model with liquidity risk
• Efficient hedging of path-dependent options
• Optimal discretization of stochastic integrals driven by general Brownian semimartingale
• Trading with small nonlinear price impact
• Optimal discretization of hedging strategies with directional views
• Model risk and discretisation of locally risk-minimising strategies
• Asymptotically optimal discretization of hedging strategies with jumps
• An asymptotic decomposition of hedging errors
• Optimal hedging of a perpetual American put with a single trade
• Approximation of stochastic integrals with jumps via weighted BMO approach
• Efficient discretization of stochastic integrals
• An algorithmic approach to non-self-financing hedging in a discrete-time incomplete market
• Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate
• On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space
• Learning minimum variance discrete hedging directly from the market
• Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations
• On suboptimality of delta hedging for Asian options
• When to efficiently rebalance a portfolio
• Computing efficient hedging strategies in discontinuous market models
• Optimal hedging strategies on asymmetric functions
• Almost sure optimal hedging strategy

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