The tracking error rate of the delta-gamma hedging strategy (Q4906531)
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scientific article; zbMATH DE number 6139585
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| English | The tracking error rate of the delta-gamma hedging strategy |
scientific article; zbMATH DE number 6139585 |
Statements
THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY (English)
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28 February 2013
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hedging strategies
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fractional regularity
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\(L_2\) convergence
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0.8459322452545166
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0.8334347009658813
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0.7974040508270264
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0.768836259841919
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0.7648320198059082
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