A correction note to ``Discrete time hedging errors for options with irregular payoffs
From MaRDI portal
Publication:468422
DOI10.1007/s00780-014-0226-yzbMath1301.60066MaRDI QIDQ468422
Publication date: 7 November 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-014-0226-y
91G20: Derivative securities (option pricing, hedging, etc.)
60H05: Stochastic integrals
41A25: Rate of convergence, degree of approximation
Cites Work
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
- Interpolation and approximation in \(L_{2}(\gamma )\)
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
- Smooth Transition Densities for One-Dimensional Diffusions
- On approximation of a class of stochastic integrals and interpolation
- Discrete time hedging errors for options with irregular payoffs