On the microstructural hedging error

DOI10.1137/090764578MaRDI QIDQ3580033zbMATH OpenOpenAlexFDO

Authors C. Y. Robert, Mathieu Rosenbaum

Publication date 11 August 2010

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/090764578

zbMATH Keywords

microstructure noisediscrete hedgingcontinuous-time processesstable convergence in lawlimit theorems for martingalesendogenous trading times

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Portfolio theory (91G10) Stochastic models in economics (91B70)

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Cited in

(7)

• Asymptotic results for time-changed Lévy processes sampled at hitting times
• Optimal discretization of hedging strategies with directional views
• On the estimation of integrated volatility in the presence of jumps and microstructure noise
• Realized volatility when sampling times are possibly endogenous
• Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective
• Market microstructure
• Central limit theorems for realized volatility under hitting times of an irregular grid

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