scientific article; zbMATH DE number 1069631

MaRDI QIDQ4356595zbMATHFDO

Authors Peter Bossaerts, Bas J. M. Werker

Publication date 1 October 1997

zbMATH Keywords

riskincomplete markethedge portfoliohedging errormartingale characteristicsstandard asset pricing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Economic growth models (91B62)

Recommendations

• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Asymptotic analysis of hedging errors in models with jumps
• Measuring the error of dynamic hedging: a Laplace transform approach
• Hedging in complete markets driven by normal martingales
• The tracking error rate of the delta-gamma hedging strategy

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4356595)