EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
From MaRDI portal
Publication:3370590
DOI10.1111/J.0960-1627.2005.00221.XzbMATH Open1153.91505OpenAlexW3125983424MaRDI QIDQ3370590FDOQ3370590
Authors: Takaki Hayashi, Per Aslak Mykland 
Publication date: 8 February 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00221.x
Recommendations
- An asymptotic decomposition of hedging errors
- Asymptotics for discrete time hedging errors under fractional Black-Scholes models
- On discrete time hedging errors in a fractional Black-Scholes model
- Local parametric analysis of hedging in discrete time
- Asymptotic analysis of hedging errors in models with jumps
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Quantile hedging
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Malliavin calculus and asymptotic expansion for martingales
- Conservative delta hedging.
- Minimum-relative-entropy calibration of asset-pricing models
- Robustness of the Black and Scholes Formula
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Option replication with transaction costs: general diffusion limits
- Volatility misspecification, option pricing and superreplication via coupling
- Financial options and statistical prediction intervals
- Explicit form and robustness of martingale representations.
- Weak convergence of financial markets.
- Quantitative approximation of certain stochastic integrals
- On approximation of a class of stochastic integrals and interpolation
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- Realized beta: persistence and predictability
- The interpolation of options
- Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions
- Analysis of Error with Malliavin Calculus: Application to Hedging
- On Leland's strategy of option pricing with transactions costs
- Limit theorem for Leland's strategy
- Leland's approach to option pricing: The evolution of a discontinuity
- Error Calculus and Path Sensitivity in Financial Models
- Hedging Options: The Malliavin Calculus Approach versus the Delta-Hedging Approach
- Local parametric analysis of hedging in discrete time
- Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
Cited In (48)
- Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion
- Discretization error of irregular sampling approximations of stochastic integrals
- Explicit formulas for the minimal variance hedging strategy in a martingale case
- Asymptotics for fixed transaction costs
- Tracking errors from discrete hedging in exponential Lévy models
- A discrete-time Clark-Ocone formula for Poisson functionals
- Higher-order error estimates of the discrete-time Clark-Ocone formula
- Move-based hedging of variable annuities: a semi-analytic approach
- A note on convergence of an approximate hedging portfolio with liquidity risk
- Optimal rebalancing frequencies for multidimensional portfolios
- Distribution of Discrete Time Delta-Hedging Error via a Recursive Relation
- Gas storage hedging
- Hedging error as generalized timing risk
- Estimation and prediction of a non-constant volatility
- Fitted finite volume method for pricing \(\text{CO}_{2}\) futures option based on the underlying with non-log-normal distribution
- Optimal discretization of hedging strategies with directional views
- Mean square error for the Leland-Lott hedging strategy: convex pay-offs
- Implied and realized volatility: empirical model selection
- A discrete-time Clark-Ocone formula and its application to an error analysis
- On the microstructural hedging error
- Pricing and risk of swing contracts in natural gas markets
- Asymptotically optimal discretization of hedging strategies with jumps
- An asymptotic decomposition of hedging errors
- When and how an error yields a Dirichlet form
- Hedging Option Books Using Neural-SDE Market Models
- Efficient discretization of stochastic integrals
- Evaluating the hedging error in price processes with jumps present
- The fundamental theorem of derivative trading -- exposition, extensions and experiments
- A scaling limit for utility indifference prices in the discretised Bachelier model
- Measuring the error of dynamic hedging: a Laplace transform approach
- Discretization error of stochastic integrals
- On discrete time hedging errors in a fractional Black-Scholes model
- An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
- Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate
- Error distributions for random grid approximations of multidimensional stochastic integrals
- On suboptimality of delta hedging for Asian options
- On \(L^{2}\) modulus of continuity of Brownian local times and Riesz potentials
- Effectiveness of CPPI strategies under discrete-time trading
- Hedging with small uncertainty aversion
- Hedging error estimate of the American put option problem in jump-diffusion processes
- Asymptotically efficient discrete hedging
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
- Almost sure optimal hedging strategy
- The tracking error rate of the delta-gamma hedging strategy
- Hedging derivatives with model error
- Evaluating discrete dynamic strategies in affine models
- Asymptotic analysis of hedging errors in models with jumps
- Asymptotics for discrete time hedging errors under fractional Black-Scholes models
This page was built for publication: EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3370590)
