On the convergence of higher order hedging schemes: the delta-gamma case (Q3074985)
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scientific article; zbMATH DE number 5849815
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| English | On the convergence of higher order hedging schemes: the delta-gamma case |
scientific article; zbMATH DE number 5849815 |
Statements
On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case (English)
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10 February 2011
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delta-gamma hedging
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discrete time hedging
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rate of convergence
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0.8334347009658813
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0.7693772315979004
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0.7606580257415771
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0.7606379389762878
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