On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case

DOI10.1137/090779905zbMath1236.91123OpenAlexW2013422472MaRDI QIDQ3074985

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

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

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