Is the approximation rate for European pay-offs in the Black-Scholes model always \(1/\sqrt n\)?

DOI10.1007/s10959-006-0008-3zbMath1105.60048OpenAlexW2018613472MaRDI QIDQ2433969

Mika Hujo

Publication date: 31 October 2006

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-006-0008-3

zbMATH Keywords

Hermite polynomialStochastic integralvariance optimal hedge

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Related Items (4)

Interpolation and approximation in \(L_{2}(\gamma )\) ⋮ On the optimal approximation rate of certain stochastic integrals ⋮ Stochastic moment problem and hedging of generalized Black-Scholes options ⋮ On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space

Cites Work

• Unnamed Item
• Interpolation and approximation in \(L_{2}(\gamma )\)
• Quantitative approximation of certain stochastic integrals
• Discrete time hedging errors for options with irregular payoffs

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