Optimal Discretization of Hedging Strategies with Directional Views (Q2797752)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Optimal Discretization of Hedging Strategies with Directional Views |
scientific article |
Statements
Optimal Discretization of Hedging Strategies with Directional Views (English)
0 references
31 March 2016
0 references
hedging strategies
0 references
discretization
0 references
delta hedging
0 references
hitting times
0 references
linear-quadratic optimal control problem
0 references
asymptotic optimality
0 references
expectation-error criterion
0 references
semimartingales
0 references
limit theorems
0 references
0 references