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

DOI10.1137/090779905zbMATH Open1236.91123OpenAlexW2013422472MaRDI QIDQ3074985FDOQ3074985

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

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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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• Delta, gamma and bucket hedging of interest rate derivatives
• Higher-order error estimates of the discrete-time Clark-Ocone formula
• APPROXIMATING OPTION PRICES UNDER LARGE CHANGES OF UNDERLYING ASSET PRICES
• Hedging and the mean absolute return
• The fundamental theorem of derivative trading -- exposition, extensions and experiments
• On suboptimality of delta hedging for Asian options
• A note on delta hedging in markets with jumps
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• The tracking error rate of the delta-gamma hedging strategy

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