Efficient discretization of stochastic integrals
From MaRDI portal
Publication:471177
DOI10.1007/s00780-013-0215-6zbMath1307.60070arXiv1204.0637OpenAlexW2156170283MaRDI QIDQ471177
Publication date: 14 November 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.0637
Central limit and other weak theorems (60F05) Financial applications of other theories (91G80) Stochastic integrals (60H05) Portfolio theory (91G10)
Related Items
A scaling limit for utility indifference prices in the discretised Bachelier model ⋮ Simple bounds for utility maximization with small transaction costs ⋮ Trading with small nonlinear price impact ⋮ Approximate Hedging with Constant Proportional Transaction Costs in Financial Markets with Jumps ⋮ Perfect hedging under endogenous permanent market impacts ⋮ Optimal Discretization of Hedging Strategies with Directional Views ⋮ On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space ⋮ Asymptotics for fixed transaction costs
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
- Discretization error of stochastic integrals
- Mean square error for the Leland-Lott hedging strategy: convex pay-offs
- Realized volatility with stochastic sampling
- Asymptotic analysis of hedging errors in models with jumps
- Limit distributions for the error in approximations of stochastic integrals
- Martingale laws, densities and decomposition of Föllmer-Schweizer
- Simulation of a space-time bounded diffusion
- Liquidity risk and arbitrage pricing theory
- On pathwise stochastic integration
- Asymptotically optimal discretization of hedging strategies with jumps
- On an approximation problem for stochastic integrals where random time nets do not help
- Almost sure optimal hedging strategy
- Asymptotically Efficient Discrete Hedging
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Robustness of the Black and Scholes Formula
- Optimal hedging of options with small but arbitrary transaction cost structure
- An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
- European Option Pricing with Transaction Costs
- Discrete time hedging errors for options with irregular payoffs
This page was built for publication: Efficient discretization of stochastic integrals
