THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY
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Publication:4906531
DOI10.1111/J.1467-9965.2010.00466.XzbMATH Open1278.91160OpenAlexW3123841841MaRDI QIDQ4906531FDOQ4906531
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
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Applications of Malliavin calculus to Monte Carlo methods in finance
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions
- Robustness of the Black and Scholes Formula
- Quantitative approximation of certain stochastic integrals
- On approximation of a class of stochastic integrals and interpolation
- Discrete time hedging errors for options with irregular payoffs
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces
- Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
- EVALUATING HEDGING ERRORS: AN ASYMPTOTIC APPROACH
- Analysis of Error with Malliavin Calculus: Application to Hedging
- On Leland's strategy of option pricing with transactions costs
- Limit theorem for Leland's strategy
- Propagation of convexity by Markovian and martingalian semigroups
- On the Convergence of Higher Order Hedging Schemes: The Delta-Gamma Case
Cited In (6)
- Higher-order error estimates of the discrete-time Clark-Ocone formula
- On Suboptimality of Delta Hedging for Asian Options
- A scaling limit for utility indifference prices in the discretised Bachelier model
- Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees
- Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
- Almost sure optimal hedging strategy
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