DISCRETE TIME HEDGING OF THE AMERICAN OPTION

DOI10.1111/j.1467-9965.2010.00415.xzbMath1232.91666OpenAlexW1487571117MaRDI QIDQ3161740

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Publication date: 15 October 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00415.x

zbMATH Keywords

discrete time hedgingAmerican optionlower convex envelopehedging error

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (6)

The weighted reverse Poincaré-type estimates for the difference of two convex vectors ⋮ Pricing American options under Azzalini Ito-McKean skew Brownian motions ⋮ Subsolutions that are close in the uniform norm are close in the Sobolev norm as well ⋮ The weighted square integral inequalities for the first derivative of the function of a real variable ⋮ Reverse Poincaré-type inequalities for the difference of superharmonic functions ⋮ Hedging error estimate of the american put option problem in jump-diffusion processes

Cites Work

• Variational inequalities and the pricing of American options
• ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
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