When is time continuous?
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- Asymptotically optimal discretization of hedging strategies with jumps
- Efficient discretization of stochastic integrals
- On discrete time hedging errors in a fractional Black-Scholes model
- Convergence and optimality of BS-type discrete hedging strategy under stochastic interest rate
- Delta-hedging vega risk?
- Error distributions for random grid approximations of multidimensional stochastic integrals
- On suboptimality of delta hedging for Asian options
- Hedging with small uncertainty aversion
- Hedging error estimate of the American put option problem in jump-diffusion processes
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