On the convergence of higher order hedging schemes: the delta-gamma case

DOI10.1137/090779905MaRDI QIDQ3074985zbMATH OpenOpenAlexFDO

Authors Mats Brodén, Magnus Wiktorsson

Publication date 10 February 2011

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/090779905

zbMATH Keywords

rate of convergencediscrete time hedgingdelta-gamma hedging

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic integrals (60H05) Asymptotics of solutions to integral equations (45M05)

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