On the microstructural hedging error (Q3580033)
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scientific article; zbMATH DE number 5769046
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On the microstructural hedging error |
scientific article; zbMATH DE number 5769046 |
Statements
On the Microstructural Hedging Error (English)
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11 August 2010
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continuous-time processes
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limit theorems for martingales
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stable convergence in law
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microstructure noise
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discrete hedging
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endogenous trading times
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0.7777217030525208
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0.7721547484397888
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0.7708448767662048
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0.7513668537139893
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0.7482168674468994
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