Robustness of Delta Hedging for Path-Dependent Options in Local Volatility Models

DOI10.1239/jap/1197908810zbMath1210.91136OpenAlexW2132726659MaRDI QIDQ5448738

Alexander Schied, Mitja Stadje

Publication date: 7 March 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1197908810

zbMATH Keywords

robustnesslocal volatilitydirectional convexitydelta hedging

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (7)

Constructing functions with prescribed pathwise quadratic variation ⋮ Model-Free Portfolio Theory and Its Functional Master Formula ⋮ Probabilistic aspects of finance ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ On a class of generalized Takagi functions with linear pathwise quadratic variation ⋮ Model-free CPPI ⋮ Pathwise no-arbitrage in a class of delta hedging strategies

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