Asymptotically Efficient Discrete Hedging

DOI10.1007/978-3-0348-0097-6_19zbMath1246.91130MaRDI QIDQ2909990

Masaaki Fukasawa

Publication date: 7 September 2012

Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0097-6_19

zbMATH Keywords

stopping time; asymptotic efficiency; Riemann sum; discrete hedging

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)

60F25: (L^p)-limit theorems

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Cites Work

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• Asymptotic analysis of hedging errors in models with jumps
• Limit distributions for the error in approximations of stochastic integrals
• On pathwise stochastic integration
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Quantitative approximation of certain stochastic integrals
• Discrete time hedging errors for options with irregular payoffs