On the Microstructural Hedging Error
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Publication:3580033
DOI10.1137/090764578zbMath1194.91183MaRDI QIDQ3580033
Mathieu Rosenbaum, Christian Y. Robert
Publication date: 11 August 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090764578
microstructure noise; discrete hedging; continuous-time processes; stable convergence in law; limit theorems for martingales; endogenous trading times
62P05: Applications of statistics to actuarial sciences and financial mathematics
60F05: Central limit and other weak theorems
91B70: Stochastic models in economics
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
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