Gamma hedging and rough paths

DOI10.1007/S00780-025-00576-2MaRDI QIDQ6927008zbMATH OpenFDO

Authors John Armstrong, Andrei Ionescu

Publication date 23 September 2025

Published in Finance and Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

gamma hedgingrough path

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Rough paths (60L20)

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