Exploding hedging errors for digital options

DOI10.1007/S007800050057zbMATH Open0929.60036OpenAlexW2022836897MaRDI QIDQ1297920FDOQ1297920

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

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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)

Cited In (5)

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

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