Tracking errors from discrete hedging in exponential Lévy models (Q3100991)
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scientific article; zbMATH DE number 5976534
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| English | Tracking errors from discrete hedging in exponential Lévy models |
scientific article; zbMATH DE number 5976534 |
Statements
TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS (English)
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22 November 2011
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exponential Lévy models
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quadratic hedging
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delta hedging
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discretization error
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\(L^{2}\) convergence
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digital options
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0.8550862073898315
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0.8425319790840149
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0.817766547203064
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0.8166938424110413
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0.8010581731796265
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