scientific article; zbMATH DE number 1069631

zbMATH Open0898.90045MaRDI QIDQ4356595FDOQ4356595

Authors: Peter Bossaerts, Bas J. M. Werker 

Publication date: 1 October 1997

Title of this publication is not available (Why is that?)

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• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
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• Hedging in complete markets driven by normal martingales
• The tracking error rate of the delta-gamma hedging strategy

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)

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