scientific article

zbMath0976.91053MaRDI QIDQ2725576

Leonid Kogan, Andrew W. Lo, Dimitris J. Bertsimas

Publication date: 3 September 2001

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

derivativescontinuous-time modelsdelta hedging

Mathematics Subject Classification ID

Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)

Related Items

A discrete-time Clark-Ocone formula and its application to an error analysis ⋮ Error distributions for random grid approximations of multidimensional stochastic integrals ⋮ Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation ⋮ Efficient discretization of stochastic integrals ⋮ Asymptotically optimal discretization of hedging strategies with jumps ⋮ Hedging with small uncertainty aversion ⋮ Optimal rebalancing frequencies for multidimensional portfolios ⋮ On discrete time hedging errors in a fractional Black-Scholes model ⋮ Tractable hedging with additional hedge instruments ⋮ Tractable stochastic analysis in high dimensions via robust optimization ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ Almost sure optimal hedging strategy ⋮ A discrete-time Clark-Ocone formula for Poisson functionals ⋮ Delta-hedging vega risk? ⋮ Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate ⋮ On Suboptimality of Delta Hedging for Asian Options ⋮ Unnamed Item ⋮ Hedging error estimate of the american put option problem in jump-diffusion processes