Exploding hedging errors for digital options

DOI10.1007/S007800050057MaRDI QIDQ1297920zbMATHOpenAlexFDO

Authors Christopher Gallus

Publication date 14 September 1999

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800050057

zbMATH Keywords

option pricingdigital option hedginghedging error

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Auctions, bargaining, bidding and selling, and other market models (91B26) Stochastic processes (60G99)

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Cited in

(5)

• Hedging at-the-money digital options near maturity
• Pathwise no-arbitrage in a class of delta hedging strategies
• Hedging under arbitrage
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS

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