On the Microstructural Hedging Error

DOI10.1137/090764578zbMath1194.91183OpenAlexW2088295319MaRDI 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

zbMATH Keywords

microstructure noisediscrete hedgingcontinuous-time processesstable convergence in lawlimit theorems for martingalesendogenous trading times

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS ⋮ Asymptotic results for time-changed Lévy processes sampled at hitting times ⋮ Central limit theorems for realized volatility under hitting times of an irregular grid ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ On the estimation of integrated volatility in the presence of jumps and microstructure noise

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