Pages that link to "Item:Q5950465"
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The following pages link to Discrete time hedging errors for options with irregular payoffs (Q5950465):
Displaying 41 items.
- A note on Malliavin fractional smoothness for Lévy processes and approximation (Q372808) (← links)
- Generalized fractional smoothness and \(L_p\)-variation of BSDEs with non-Lipschitz terminal condition (Q424522) (← links)
- A correction note to ``Discrete time hedging errors for options with irregular payoffs'' (Q468422) (← links)
- Efficient discretization of stochastic integrals (Q471177) (← links)
- Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces (Q605878) (← links)
- Mean square error for the Leland-Lott hedging strategy: convex pay-offs (Q650775) (← links)
- Stochastic moment problem and hedging of generalized Black-Scholes options (Q651087) (← links)
- On discrete time hedging errors in a fractional Black-Scholes model (Q681037) (← links)
- Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate (Q763624) (← links)
- Option valuation and hedging using an asymmetric risk function: asymptotic optimality through fully nonlinear partial differential equations (Q784734) (← links)
- Interpolation and approximation in \(L_{2}(\gamma )\) (Q868825) (← links)
- \(\mathbf L_2\)-time regularity of BSDEs with irregular terminal functions (Q981015) (← links)
- Asymptotic analysis of hedging errors in models with jumps (Q1019621) (← links)
- Weighted BMO and discrete time hedging within the Black-Scholes model (Q1775518) (← links)
- Error distributions for random grid approximations of multidimensional stochastic integrals (Q1948705) (← links)
- Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion (Q2084843) (← links)
- Higher-order error estimates of the discrete-time Clark-Ocone formula (Q2100007) (← links)
- A scaling limit for utility indifference prices in the discretised Bachelier model (Q2120544) (← links)
- Asymptotics for discrete time hedging errors under fractional Black-Scholes models (Q2322589) (← links)
- On fractional smoothness and \(L_{p}\)-approximation on the Gaussian space (Q2338911) (← links)
- A discrete-time Clark-Ocone formula and its application to an error analysis (Q2412512) (← links)
- Is the approximation rate for European pay-offs in the Black-Scholes model always \(1/\sqrt n\)? (Q2433969) (← links)
- An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility (Q2447642) (← links)
- Model misspecification analysis for bond options and Markovian hedging strategies (Q2462883) (← links)
- Discrete approximation of finite-horizon American-style options (Q2466765) (← links)
- On an approximation problem for stochastic integrals where random time nets do not help (Q2490068) (← links)
- Almost sure optimal hedging strategy (Q2511561) (← links)
- A discrete-time Clark-Ocone formula for Poisson functionals (Q2515784) (← links)
- Optimal Discretization of Hedging Strategies with Directional Views (Q2797752) (← links)
- Asymptotically Efficient Discrete Hedging (Q2909990) (← links)
- TRACKING ERRORS FROM DISCRETE HEDGING IN EXPONENTIAL LÉVY MODELS (Q3100991) (← links)
- ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES (Q3621566) (← links)
- Approximate indifference pricing in exponential Lévy models (Q4585675) (← links)
- Delta-hedging vega risk? (Q4610265) (← links)
- THE TRACKING ERROR RATE OF THE DELTA‐GAMMA HEDGING STRATEGY (Q4906531) (← links)
- Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model (Q4976503) (← links)
- Hedging error estimate of the american put option problem in jump-diffusion processes (Q5024445) (← links)
- Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion (Q5086430) (← links)
- <i>L</i><sup>2</sup>-convergence rate for the discretization error of functions of Lévy process (Q5086496) (← links)
- On Suboptimality of Delta Hedging for Asian Options (Q5258450) (← links)
- Approximation of stochastic integrals with jumps via weighted BMO approach (Q6620078) (← links)
