The tracking error rate of the delta-gamma hedging strategy

DOI10.1111/J.1467-9965.2010.00466.XMaRDI QIDQ4906531zbMATH OpenOpenAlexFDO

Authors Emmanuel Gobet, A. Makhlouf

Publication date 28 February 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00466.x

zbMATH Keywords

fractional regularityhedging strategies\(L_2\) convergence

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• Analysis of Error with Malliavin Calculus: Application to Hedging
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Discrete time hedging errors for options with irregular payoffs
• EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
• Limit theorem for Leland's strategy
• On Leland's strategy of option pricing with transactions costs
• On approximation of a class of stochastic integrals and interpolation
• On the convergence of higher order hedging schemes: the delta-gamma case
• Propagation of convexity by Markovian and martingalian semigroups
• Quantitative approximation of certain stochastic integrals
• Robustness of the Black and Scholes Formula
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
• Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
• \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions

Cited in

(7)

• Higher-order error estimates of the discrete-time Clark-Ocone formula
• A scaling limit for utility indifference prices in the discretised Bachelier model
• Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
• Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
• On suboptimality of delta hedging for Asian options
• Almost sure optimal hedging strategy
• On the convergence of higher order hedging schemes: the delta-gamma case

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